{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,4,4]],"date-time":"2026-04-04T05:41:30Z","timestamp":1775281290139,"version":"3.50.1"},"reference-count":59,"publisher":"Springer Science and Business Media LLC","issue":"1-2","license":[{"start":{"date-parts":[[2009,9,16]],"date-time":"2009-09-16T00:00:00Z","timestamp":1253059200000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Comput Manag Sci"],"published-print":{"date-parts":[[2011,4]]},"DOI":"10.1007\/s10287-009-0105-8","type":"journal-article","created":{"date-parts":[[2009,9,15]],"date-time":"2009-09-15T12:27:38Z","timestamp":1253017658000},"page":"23-49","source":"Crossref","is-referenced-by-count":36,"title":["Dynamic modeling of mean-reverting spreads for statistical arbitrage"],"prefix":"10.1007","volume":"8","author":[{"given":"K.","family":"Triantafyllopoulos","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"G.","family":"Montana","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2009,9,16]]},"reference":[{"key":"105_CR1","unstructured":"Alexander C, Giblin I, Weddington W (2002) Cointegration and asset\u00a0allocation: a new active hedge fund strategy. Tech Rep Discussion Paper 2003-08, ISMA Centre Discussion Papers in Finance Series"},{"key":"105_CR2","doi-asserted-by":"crossref","first-page":"285","DOI":"10.1002\/for.3980030306","volume":"3","author":"JRM Ameen","year":"1984","unstructured":"Ameen JRM, Harrison PJ (1984) Discount weighted estimation. J Forecasting 3: 285\u2013296","journal-title":"J Forecasting"},{"key":"105_CR3","doi-asserted-by":"crossref","first-page":"489","DOI":"10.1111\/j.1467-9892.2005.00428.x","volume":"26","author":"PL Anderson","year":"2005","unstructured":"Anderson PL, Meerschaert MM (2005) Parameter estimation for periodically stationary time series. J Time Ser Anal 26: 489\u2013518","journal-title":"J Time Ser Anal"},{"issue":"1","key":"105_CR4","doi-asserted-by":"crossref","first-page":"225","DOI":"10.1111\/0022-1082.00205","volume":"55","author":"N Barberis","year":"2000","unstructured":"Barberis N (2000) Investing for the long-run when returns are predictable. J Finance 55(1): 225\u2013264","journal-title":"J Finance"},{"key":"105_CR5","doi-asserted-by":"crossref","first-page":"132","DOI":"10.1016\/j.ejor.2004.01.002","volume":"163","author":"G Carcano","year":"2005","unstructured":"Carcano G, Falbo P, Stefani S (2005) Speculative trading in mean reverting markets. Eur J Oper Res 163: 132\u2013144","journal-title":"Eur J Oper Res"},{"key":"105_CR6","first-page":"10","volume":"29","author":"SW Chan","year":"1984","unstructured":"Chan SW, Goodwin GC, Sin KS (1984) Convergence properties of the riccati difference equation in optimal filtering of nonstabilizable systems. IEEE Trans Autom Control 29: 10\u201318","journal-title":"IEEE Trans Autom Control"},{"key":"105_CR7","doi-asserted-by":"crossref","first-page":"575","DOI":"10.1016\/S0378-4266(01)00252-7","volume":"27","author":"K Chaudhuri","year":"2003","unstructured":"Chaudhuri K, Wu Y (2003) Random walk versus breaking trend in stock prices: evidence from emerging markets. J Banking Finance 27: 575\u2013592","journal-title":"J Banking Finance"},{"issue":"4","key":"105_CR8","doi-asserted-by":"crossref","first-page":"355","DOI":"10.1111\/1467-9892.00055","volume":"18","author":"X Cheng","year":"1995","unstructured":"Cheng X, Wu Y, Du J, Liu H (1995) The zero-crossing rate of pth-order autoregressive processes. J Time Ser Anal 18(4): 355\u2013374","journal-title":"J Time Ser Anal"},{"key":"105_CR9","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1214\/aos\/1034276620","volume":"25","author":"R Dahlhaus","year":"1997","unstructured":"Dahlhaus R (1997) Fitting time series models to nonstationary processes. Ann Stat 25: 1\u201337","journal-title":"Ann Stat"},{"key":"105_CR10","unstructured":"d\u2019Aspremont A (2008) Identifying small mean reverting portfolios. Tech rep, Princeton University"},{"key":"105_CR11","doi-asserted-by":"crossref","first-page":"1","DOI":"10.2307\/2297923","volume":"59","author":"A Deaton","year":"1992","unstructured":"Deaton A, Laroque G (1992) On the behavior of commodity prices. Rev Econ Stud 59: 1\u201323","journal-title":"Rev Econ Stud"},{"key":"105_CR12","doi-asserted-by":"crossref","first-page":"865","DOI":"10.1155\/S1110865702205089","volume":"8","author":"PM Djuri\u0107","year":"2002","unstructured":"Djuri\u0107 PM, Kotecha JH, Esteve F, Perret E (2002) Sequential parameter estimation of time-varying non-Gaussian autoregressive processes. EURASIP J Appl Signal Process 8: 865\u2013875","journal-title":"EURASIP J Appl Signal Process"},{"issue":"5","key":"105_CR13","doi-asserted-by":"crossref","first-page":"938","DOI":"10.1109\/9.763210","volume":"44","author":"R Elliott","year":"1999","unstructured":"Elliott R, Krishnamurthy V (1999) New finite-dimensional filters for parameter estimation of discrete-time linear gaussian models. IEEE Trans Autom Control 44(5): 938\u2013951","journal-title":"IEEE Trans Autom Control"},{"issue":"3","key":"105_CR14","doi-asserted-by":"crossref","first-page":"271","DOI":"10.1080\/14697680500149370","volume":"5","author":"R Elliott","year":"2005","unstructured":"Elliott R, van der Hoek J, Malcolm W (2005) Pairs trading. Quant Finance 5(3): 271\u2013276","journal-title":"Quant Finance"},{"issue":"2","key":"105_CR15","doi-asserted-by":"crossref","first-page":"251","DOI":"10.2307\/1913236","volume":"55","author":"R Engle","year":"1987","unstructured":"Engle R, Granger C (1987) Co-integration and error correction: representation, estimation, and testing. Econometrica 55(2): 251\u2013276","journal-title":"Econometrica"},{"issue":"2","key":"105_CR16","doi-asserted-by":"crossref","first-page":"246","DOI":"10.1086\/261535","volume":"96","author":"EF Fama","year":"1988","unstructured":"Fama EF, French K (1988) Permanent and temporary components of stock prices. J Polit Econ 96(2): 246\u2013273","journal-title":"J Polit Econ"},{"key":"105_CR17","doi-asserted-by":"crossref","first-page":"765","DOI":"10.1111\/j.1467-9892.2004.02003.x","volume":"25","author":"C Francq","year":"2004","unstructured":"Francq C, Gautier A (2004) Large sample properties of parameter least squares estimates for time-varying ARMA models. J Time Ser Anal 25: 765\u2013783","journal-title":"J Time Ser Anal"},{"key":"105_CR18","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1016\/S0304-4076(01)00057-4","volume":"102","author":"C Francq","year":"2001","unstructured":"Francq C, Zakoan JM (2001) Stationarity of multivariate Markov-switching ARMA models. J Econom 102: 339\u2013364","journal-title":"J Econom"},{"key":"105_CR19","unstructured":"Ghahramani Z, Hinton GE (1996) Parameter estimation for linear dynamical systems. Tech Rep Technical Report CRG-TR-92-2, Department of Computer Science, University of Toronto"},{"issue":"1","key":"105_CR20","doi-asserted-by":"crossref","first-page":"121","DOI":"10.1016\/0304-4076(89)90045-6","volume":"41","author":"D Ghosh","year":"1989","unstructured":"Ghosh D (1989) Maximum likelihood estimation of the dynamic shock-error model. J Econom 41(1): 121\u2013143","journal-title":"J Econom"},{"key":"105_CR21","doi-asserted-by":"crossref","unstructured":"Hargreaves C (1994) Nonstationary time series analysis and cointegration, Oxford, chap A review of methods of estimating cointegrating reiationships, pp 87\u2013131","DOI":"10.1093\/oso\/9780198773917.003.0004"},{"key":"105_CR22","doi-asserted-by":"crossref","first-page":"797","DOI":"10.1093\/biomet\/78.4.797","volume":"78","author":"PJ Harrison","year":"1991","unstructured":"Harrison PJ, West M (1991) Dynamic linear model diagnostics. Biometrika 78: 797\u2013808","journal-title":"Biometrika"},{"key":"105_CR23","volume-title":"Forecasting, structural time series models and the kalman filter","author":"A Harvey","year":"1989","unstructured":"Harvey A (1989) Forecasting, structural time series models and the kalman filter. Cambridge University Press, Cambridge"},{"key":"105_CR24","doi-asserted-by":"crossref","first-page":"231","DOI":"10.1016\/0165-1889(88)90041-3","volume":"12","author":"S Johansen","year":"1988","unstructured":"Johansen S (1988) Statistical analysis of cointegration vectors. J Econ Dynam Control 12: 231\u2013255","journal-title":"J Econ Dynam Control"},{"key":"105_CR25","doi-asserted-by":"crossref","first-page":"1551","DOI":"10.2307\/2938278","volume":"59","author":"S Johansen","year":"1991","unstructured":"Johansen S (1991) Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregression models. Econometrica 59: 1551\u20131580","journal-title":"Econometrica"},{"issue":"4","key":"105_CR26","doi-asserted-by":"crossref","first-page":"535","DOI":"10.1016\/0261-5606(96)00020-4","volume":"15","author":"P Jorion","year":"1996","unstructured":"Jorion P, Sweeney R (1996) Mean reversion in real exchange rates: evidence and implications for forecasting. J Int Money Finance 15(4): 535\u2013550","journal-title":"J Int Money Finance"},{"key":"105_CR27","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1016\/0304-4076(95)01771-2","volume":"75","author":"JB Kadane","year":"1996","unstructured":"Kadane JB, Chan NH, Wolfson LJ (1996) Priors for unit root models. J Econom 75: 99\u2013111","journal-title":"J Econom"},{"key":"105_CR28","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1002\/(SICI)1099-1255(199703)12:2<99::AID-JAE429>3.0.CO;2-A","volume":"12","author":"KR Kadiyala","year":"1997","unstructured":"Kadiyala KR, Karlsson S (1997) Numerical methods for estimation and inference in Bayesian VAR-models. J Appl Econom 12: 99\u2013132","journal-title":"J Appl Econom"},{"issue":"1","key":"105_CR29","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/0165-1889(88)90013-9","volume":"12","author":"R Kalaba","year":"1988","unstructured":"Kalaba R, Tesfatsion L (1988) The flexible least squares approach to time-varying linear regression. J Econ Dynam Control 12(1): 43\u201348","journal-title":"J Econ Dynam Control"},{"key":"105_CR30","doi-asserted-by":"crossref","first-page":"35","DOI":"10.1115\/1.3662552","volume":"82","author":"RE Kalman","year":"1960","unstructured":"Kalman RE (1960) A new approach to linear filtering and prediction problems. J Basic Eng 82: 35\u201345","journal-title":"J Basic Eng"},{"issue":"15","key":"105_CR31","doi-asserted-by":"crossref","first-page":"775","DOI":"10.1080\/0094965031000081040","volume":"73","author":"H Li","year":"2003","unstructured":"Li H, Xiao Z (2003) Bootstrapping cointegrating regressions using blockwise bootstrap methods. J Stat Comput Simul 73(15): 775\u2013789","journal-title":"J Stat Comput Simul"},{"key":"105_CR32","volume-title":"Diagnostic checks in time series","author":"WK Li","year":"2004","unstructured":"Li WK (2004) Diagnostic checks in time series. Chapman and Hall, London"},{"key":"105_CR33","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1155\/JAMDS\/2006\/73803","volume":"2","author":"Y Lin","year":"2006","unstructured":"Lin Y, McCrae M, Gulati C (2006) Loss protection in pairs trading through minimum profit bounds: a cointegration approach. J Appl Math Decis Sci 2: 1\u201314","journal-title":"J Appl Math Decis Sci"},{"key":"105_CR34","volume-title":"New introduction to multiple time series analysis","author":"H L\u00fctkepohl","year":"2006","unstructured":"L\u00fctkepohl H (2006) New introduction to multiple time series analysis. Springer, New York"},{"key":"105_CR35","volume-title":"The EM algorithm and extensions","author":"GL McLachlan","year":"1997","unstructured":"McLachlan GL, Krishnan T (1997) The EM algorithm and extensions. Wiley Series in Probability and Statistics, Wiley"},{"issue":"2","key":"105_CR36","doi-asserted-by":"crossref","first-page":"123","DOI":"10.2307\/2685871","volume":"37","author":"RJ Meinhold","year":"1983","unstructured":"Meinhold RJ, Singpurwalla ND (1983) Understanding the Kalman filter. Am Stat 37(2): 123\u2013127","journal-title":"Am Stat"},{"key":"105_CR37","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(83)90048-9","volume":"21","author":"JF Monahan","year":"1983","unstructured":"Monahan JF (1983) Fully Bayesian analysis of ARMA time series models. J Econom 21: 307\u2013331","journal-title":"J Econom"},{"key":"105_CR38","doi-asserted-by":"crossref","unstructured":"Montana G, Parrella F (2008) Learning to trade with incremental support vector regression experts. In: Corchado E, Abraham WA amd Pedrycz (eds) Lecture notes in computer science, Springer, pp 591\u2013598","DOI":"10.1007\/978-3-540-87656-4_73"},{"key":"105_CR39","doi-asserted-by":"crossref","first-page":"283","DOI":"10.1007\/978-0-387-79420-4_20","volume-title":"Data mining for business applications","author":"G Montana","year":"2009","unstructured":"Montana G, Parrella F (2009) Data mining for algorithmic asset management. In: Cao L, Yu PS, Zhang C, Zhang H (eds) Data mining for business applications. Springer, US, pp 283\u2013295"},{"key":"105_CR40","doi-asserted-by":"crossref","unstructured":"Montana G, Triantafyllopoulos K, Tsagaris T (2008) Data stream mining for market-neutral algorithmic trading. In: Proceedings of the ACM symposium on applied computing, pp 966\u2013970","DOI":"10.1145\/1363686.1363910"},{"issue":"2","key":"105_CR41","doi-asserted-by":"crossref","first-page":"2819","DOI":"10.1016\/j.eswa.2008.01.062","volume":"36","author":"G Montana","year":"2009","unstructured":"Montana G, Triantafyllopoulos K, Tsagaris T (2009) Flexible least squares for temporal data mining and statistical arbitrage. Expert Syst Appl 36(2): 2819\u20132830","journal-title":"Expert Syst Appl"},{"issue":"6","key":"105_CR42","doi-asserted-by":"crossref","first-page":"2610","DOI":"10.1214\/009053605000000624","volume":"33","author":"E Moulines","year":"2005","unstructured":"Moulines E, Priouret P, Roueff F (2005) On recursive estimation for time varying autoregressive processes. Ann Stat 33(6): 2610\u20132654","journal-title":"Ann Stat"},{"key":"105_CR43","doi-asserted-by":"crossref","first-page":"159","DOI":"10.1016\/S0304-4076(03)00099-X","volume":"115","author":"S Ni","year":"2003","unstructured":"Ni S, Sun D (2003) Noninformative priors and frequentist risks of Bayesian estimators of vector- autoregressive models. J Econom 115: 159\u2013197","journal-title":"J Econom"},{"key":"105_CR44","volume-title":"Identification of time-varying processes","author":"M Nied\u017awiecki","year":"2000","unstructured":"Nied\u017awiecki M (2000) Identification of time-varying processes. Wiley, New York"},{"key":"105_CR45","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1016\/0165-1889(88)90043-7","volume":"12","author":"P Perron","year":"1988","unstructured":"Perron P (1988) Trends and random walks in macroeconomic time series. J Econ Dynam Control 12: 297\u2013332","journal-title":"J Econ Dynam Control"},{"key":"105_CR46","doi-asserted-by":"crossref","first-page":"99","DOI":"10.2307\/2297545","volume":"57","author":"P Phillips","year":"1990","unstructured":"Phillips P, Hansen B (1990) Statistical inference in instrumental variables regression with I(1) process. Rev Econ Stud 57: 99\u2013125","journal-title":"Rev Econ Stud"},{"key":"105_CR47","doi-asserted-by":"crossref","first-page":"165","DOI":"10.2307\/2938339","volume":"58","author":"PCB Phillips","year":"1990","unstructured":"Phillips PCB, Ouliaris S (1990) Asymptotic properties of residual based tests for cointegration. Econometrica 58: 165\u2013193","journal-title":"Econometrica"},{"key":"105_CR48","unstructured":"Pole A (2007) Statistical arbitrage. Algorithmic trading insights and techniques. Wiley Finance"},{"issue":"1","key":"105_CR49","doi-asserted-by":"crossref","first-page":"27","DOI":"10.1016\/0304-405X(88)90021-9","volume":"22","author":"JM Poterba","year":"1988","unstructured":"Poterba JM, Summers LH (1988) Mean reversion in stock prices: evidence and implications. J Financ Econom 22(1): 27\u201359","journal-title":"J Financ Econom"},{"key":"105_CR50","doi-asserted-by":"crossref","first-page":"599","DOI":"10.1111\/1467-9892.00280","volume":"23","author":"R Prado","year":"2002","unstructured":"Prado R, Huerta G (2002) Time-varying autoregressions with model order uncertainty. J Time Ser Anal 23: 599\u2013618","journal-title":"J Time Ser Anal"},{"key":"105_CR51","doi-asserted-by":"crossref","unstructured":"Saad D (ed) (1999) On-line learning in neural networks. No. 17 in Publications of the Newton Institute, Cambridge","DOI":"10.1017\/CBO9780511569920"},{"issue":"4","key":"105_CR52","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1111\/j.1467-9892.1982.tb00349.x","volume":"3","author":"RH Shumway","year":"1982","unstructured":"Shumway RH, Stoffer DS (1982) An approach to time series smoothing and forecasting using the em algorithm. J Time Ser Anal 3(4): 253\u2013264","journal-title":"J Time Ser Anal"},{"key":"105_CR53","unstructured":"Sutcliffe C, Board J (2006) Encyclopedia of financial engineering and risk management, Fitzroy Dearborn, chap Index arbitrage"},{"key":"105_CR54","doi-asserted-by":"crossref","first-page":"2117","DOI":"10.1080\/03610920601143535","volume":"36","author":"K Triantafyllopoulos","year":"2007","unstructured":"Triantafyllopoulos K (2007) Convergence of discount time series dynamic linear models. Commun Stat Theory Methods 36: 2117\u20132127","journal-title":"Commun Stat Theory Methods"},{"key":"105_CR55","doi-asserted-by":"crossref","first-page":"551","DOI":"10.1002\/for.1039","volume":"26","author":"K Triantafyllopoulos","year":"2007","unstructured":"Triantafyllopoulos K (2007) Covariance estimation for multivariate conditionally Gaussian dynamic linear models. J Forecasting 26: 551\u2013569","journal-title":"J Forecasting"},{"key":"105_CR56","unstructured":"Vidyamurthy G (2004) Pairs trading. Wiley Finance"},{"key":"105_CR57","volume-title":"Bayesian forecasting and dynamic models","author":"M West","year":"1997","unstructured":"West M, Harrison PJ (1997) Bayesian forecasting and dynamic models. 2nd edn. Springer, New York","edition":"2"},{"key":"105_CR58","doi-asserted-by":"crossref","first-page":"375","DOI":"10.2307\/2670154","volume":"94","author":"M West","year":"1999","unstructured":"West M, Prado R, Krystal AD (1999) Evaluation and comparison of EEG traces: latent structures in nonstationary time series. J Am Stat Assoc 94: 375\u2013387","journal-title":"J Am Stat Assoc"},{"key":"105_CR59","volume-title":"An introduction to Bayesian inference in econometrics","author":"A Zellner","year":"1972","unstructured":"Zellner A (1972) An introduction to Bayesian inference in econometrics. Wiley, New York"}],"container-title":["Computational Management Science"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-009-0105-8.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s10287-009-0105-8\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s10287-009-0105-8","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,3,16]],"date-time":"2024-03-16T14:21:39Z","timestamp":1710598899000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s10287-009-0105-8"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2009,9,16]]},"references-count":59,"journal-issue":{"issue":"1-2","published-print":{"date-parts":[[2011,4]]}},"alternative-id":["105"],"URL":"https:\/\/doi.org\/10.1007\/s10287-009-0105-8","relation":{},"ISSN":["1619-697X","1619-6988"],"issn-type":[{"value":"1619-697X","type":"print"},{"value":"1619-6988","type":"electronic"}],"subject":[],"published":{"date-parts":[[2009,9,16]]}}}