I have a question about pairs trading
4 visualizaciones (últimos 30 días)
Mostrar comentarios más antiguos
Good Morning I watched the pairs trading webminar. I would like to ask if anyone can give me some information about the operation of certain parts of the code.
Is regression implemented in this part?
% The strategy:
% 1 Compute residuals over next N days
res = series2 (i: i + N-1, 1) ...
- (Reg1.coeff (1) + reg1.coeff (2). * Series2 (i: i + N-1, 2));
-------------------------------------------------- -----------------------------------
I am also not clear about this part:
% 2 If the residuals are large and positive, then the first series
% Is Likely to decline vs. the second series. Short the first
% Series by a scaled number of shares and long the second series by
1% share. If the residuals are large and negative, do the
% Opposite.
indicated (i: i + N-1) = res / reg1.RMSE;
s (i: i + N-1, 2) = (res / reg1.RMSE> spread) ...
- (Res / reg1.RMSE <-spread);
s (i: i + N-1, 1) = -reg1.coeff (2). * s (i: i + N-1, 2);
end
end
Thank you for your concern and time. Best regards, Caserta
5 comentarios
Respuestas (0)
Ver también
Categorías
Más información sobre Special Functions en Help Center y File Exchange.
Productos
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!