Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Modèles de taux d'intérêt (Vasicek, CIR, Nelson-Siegel)× | Trading de paires (arbitrage statistique)× | |
|---|---|---|
| Domaine | Finance | Finance |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1977 | 2006 |
| Auteur d'origine≠ | Vasicek (1977); Nelson & Siegel (1987) | Gatev, Goetzmann & Rouwenhorst (empirical rule); Vidyamurthy (quantitative framing) |
| Type≠ | Term-structure / short-rate model | Cointegration-based mean-reversion trading strategy |
| Source fondatrice≠ | 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 ↗ |
| Alias≠ | 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) |
| Apparentées | 5 | 5 |
| Résumé≠ | 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). |
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