Skip to yearly menu bar Skip to main content

Workshop: Time Series Workshop

Morning Poster Session: First Hitting Time Guarantees for Nonlinear Time Series Models

Julien Huang


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.