In this series we learn all sorts of theory on the OU-Process, code it all up and use it in stat arb.
The Ornstein-Uhlenbeck Process - A deep dive - Part 3 (with code)
The Ornstein-Uhlenbeck Process - A deep dive…
The Ornstein-Uhlenbeck Process - A deep dive - Part 3 (with code)
In this series we learn all sorts of theory on the OU-Process, code it all up and use it in stat arb.