标签: arbitrage

kalmanfilterforarbitrageidentificationinhighfrequencydataAROBUSTNON-LINEARMULTIVARIATEKALMANFILTERFORARBITRAGEIDENTIFICATIONINHIGHFREQUENCYDATAP.J.BOLLANDANDJ.T.CONNORLondonBusinessSchoolDepartmentofDecisionScienceSussexPlace,RegentsParkLondonNW14SAPhone-(+44)71-262-5050FAX-(+44)71-724-7875E-Mail-pbolland@lbs.lon.ac.ukE-Mail-jconnor@lbs.lon.ac.ukABSTRACTWepresentamethodologyformodellingrealworldhighfrequencyfinancialdata.Themethodologycopeswiththeerraticarrivalofdataandisrobusttoadditiveoutliersinthedataset.Arbitragepricingrelationshipsareformulatedintoalinearstatespacerepresentation.Arbitrageopportunitiesviolatethesepricingrelationshipsandareanalogoustomultivariateadditiveoutliers.Robustidentification/filteringofarbitrageopportunitiesint……