Morning Poster Session: First Hitting Time Guarantees for Nonlinear Time Series Models
Julien Huang
2021 Poster
in
Workshop: Time Series Workshop
in
Workshop: Time Series Workshop
Abstract
We derive tight probabilistic bounds on the first hitting time of general classes of contractive nonlinear time series models that can be linked to mean reverting processes. As an application to finance, we translate our results to a pairs trading strategy with probabilistic guarantees on its returns.
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