Module I — From Pair to Multi-Asset System

Status: outline. Lecture body not authored.

ARGOS uses Spread = A − βB. HARMONIA works with a system:

X_t = (A_1, A_2, …, A_N)
z_t = w' X_t

The student moves from one isolated relation to a system with many potential relations.

Unique process — Pair spread ≠ system

• two assets → N variables
• multivariate dependence
• VAR intuition
• relationship systems