In a recent post, I discussed the use of the multivariate Ornstein-Uhlenbeck model as an alternative to linear regressions. In this post,...

In The Multivariate Ornstein-Uhlenbeck Model as an Alternative to Regressions, we considered the relative valuation of the CADUSD...

One of the statistical approaches most frequently used by financial analysts is regression analysis, as it allows comparisons of current...

I recently analyzed a butterfly spread involving the yields of three Italian government bonds: BTP 4.5% Mar-24 BTP 1.85% May-24 BTP 3.75%...

In ‘Cyclical Vector Fields and Seasonality,’ we saw that a rotational vector field could introduce seasonal patterns to prices over time,...

In my last post, I noted that we could specify the vector field of a multivariate Ornstein-Uhlenbeck process to be cyclical so as to...

A diffusion process can be viewed as a scaled Brownian motion dropped into a vector field. And the set of vector fields that can be...

In my previous notes on the multivariate Ornstein-Uhlenbeck process, I focused on the fact that correlations in this framework generally...

In my last post, I noted that the empirical correlation of the change in 5Y and 10Y Treasury yields since 1962 depends on the frequency...

In my last note, I discussed the way the interaction between two variables that follow a bivariate Ornstein-Uhlenbeck process can cause...

Years ago, shortly after I joined Deutsche Bank, my boss asked me to calculate some correlations for a note he was writing. When I placed...