collaborators

1 paper

q-fin.TR2024

An Application of the Ornstein-Uhlenbeck Process to Pairs Trading

Jirat Suchato, Sean Wiryadi, Danran Chen +2

We conduct a preliminary analysis of a pairs trading strategy using the Ornstein-Uhlenbeck (OU) process to model stock price spreads. We compare this approach to a naive pairs trad…