Statistical arbitrage (stat-arb) is one of the oldest and most widely-used strategies in quantitative finance. The core idea is simple: find two assets whose prices move together over time. When their ...

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Abstract: This paper investigates the usage of Johansen Cointegration Test for adaptive target detection with hyperspectral remote sensing data. Johansen Cointegration Test aims at mining long-term ...

ABSTRACT: The present study attempts to empirically analyze the co-movement in the BRIC countries’ stock markets in the long run by employing a Johansen cointegration technique. We have divided the ...