Basket trading under co-integration with the logistic mixture autoregressive model

Keyphrases

• Cointegration 100%
• Logit Mixture 100%
• Mixture Autoregressive Model 100%
• Basket Trading 100%
• Volatility 50%
• ADF Test 50%
• Autoregression 50%
• Hong Kong 25%
• Copyright 25%
• Simulation Study 25%
• Inequity 25%
• Statistical Arbitrage 25%
• Model Selection 25%
• Expectation-maximization Algorithm 25%
• Mean-reverting 25%
• Trading Strategy 25%
• Random Walk 25%
• Financial Assets 25%
• Time Series Data 25%
• Cointegration Model 25%
• Equity Markets 25%
• Hang Seng Index 25%
• Higher Returns 25%
• Sharpe Ratio 25%
• Arbitrage 25%
• Stationarity 25%
• Autoregressive Time Series Model 25%
• Least Squares Estimation 25%
• Mean-reverting Process 25%
• Random Means 25%
• Integration Framework 25%
• Equilibrium Relationship 25%
• Cumulative Return 25%
• Use Simulation 25%
• Unit Root Test 25%
• Markovian Approach 25%
• Bayesian Information Criterion 25%

Mathematics

• Cointegration 100%
• Autoregressive Model 100%
• Autoregression 50%
• Arbitrage 50%
• Simulation Study 25%
• Polynomial 25%
• Sufficient Condition 25%
• Model Selection 25%
• Expectation-Maximization Algorithm 25%
• Hang Seng Index 25%
• Time Series Model 25%
• Stationarity 25%
• Least Square Estimation 25%
• Sharpe Ratio 25%
• Equity Market 25%
• Random Walk 25%
• Time Series Data 25%
• Largest Root 25%
• Bayesian Information Criterion 25%
• Unit Root Test 25%

Economics, Econometrics and Finance

• Time Series 100%
• Arbitrage 66%
• Volatility 66%
• Autoregression 66%
• Mean Reversion 33%
• Bayesian 33%
• Unit Root 33%