Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Intressimudelite (Vasicek, CIR, Nelson-Siegel) perekond× | Paaride kauplemine (statistiline arbitraaž)× | |
|---|---|---|
| Valdkond | Rahandus | Rahandus |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1977 | 2006 |
| Looja≠ | Vasicek (1977); Nelson & Siegel (1987) | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) |
| Tüüp≠ | Term-structure / short-rate model | Cointegration-based mean-reversion trading strategy |
| Algallikas≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Gatev, E., Goetzmann, W. N. & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies, 19(3), 797–827. DOI ↗ |
| Rööpnimetused≠ | term structure models, short-rate models, yield curve models, Vasicek model | statistical arbitrage, relative-value arbitrage, mean-reversion pairs strategy, Çift Alım-Satım Stratejisi (Pairs Trading / Statistical Arbitrage) |
| Seotud | 5 | 5 |
| Kokkuvõte≠ | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). | Pairs trading is a quantitative trading strategy that takes a long-short position on two cointegrated assets when the gap (spread) between their prices shows mean reversion. It was popularised as a relative-value arbitrage rule by Gatev, Goetzmann and Rouwenhorst (2006) and framed quantitatively by Vidyamurthy (2004). |
| ScholarGateAndmestik ↗ |
|
|