Statistical Arbitrage using Principal Component Analysis for the Term Structure of Interest Rates

Jason C Tjangdjaja, Paul R Lajbcygier, N Burgess

Research output: Contribution to conference › Other

Original language	English
Pages	43 - 54
Number of pages	12
Publication status	Published - 1998
Event	IDEAL '98 - Hong Kong, Berlin GERMANY Duration: 14 Oct 1997 → 16 Oct 1997

Cite this

@conference{bb7a31962a17444ab5e15153174f97ca,

title = "Statistical Arbitrage using Principal Component Analysis for the Term Structure of Interest Rates",

author = "Tjangdjaja, {Jason C} and Lajbcygier, {Paul R} and N Burgess",

year = "1998",

language = "English",

pages = "43 -- 54",

note = "IDEAL '98 ; Conference date: 14-10-1997 Through 16-10-1997",

}