Pairs Trading: The Cointegration Approach and Minimum Profit Optimization
25.1 هزار بار بازدید -
4 سال پیش
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Cointegration is one of the most important statistical arbitrage strategies for pairs and multi-asset trading.
In this talk, we cover the basic concepts of cointegration, the simulation of cointegrated pairs using a stationary AR(1) process, the application of mean first-passage time of an AR(1) process to optimize cointegrated pairs trading boundaries and frequency, and the numerical algorithm to generate the trading signal.
Go-to-market faster than ever with ArbitrageLab, a python library that provides institutional-grade pairs trading algorithms to traders.
* An Introduction to Cointegration for Pairs Trading: hudsonthames.org/an-introduction-to-cointegration/
* Slideshow Presentation: drive.google.com/file/d/1ZeJD81OrKln8QDxm1sU63ivRg…
4 سال پیش
در تاریخ 1399/11/12 منتشر شده
است.
25,100
بـار بازدید شده