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 conferenceOther

    Original languageEnglish
    Pages43 - 54
    Number of pages12
    Publication statusPublished - 1998
    EventIDEAL '98 - Hong Kong, Berlin GERMANY
    Duration: 14 Oct 199716 Oct 1997


    ConferenceIDEAL '98
    CityBerlin GERMANY

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