Hi Marcelo,
It may sound like a stupid question, as I just started using MatLab, but in the description of the algorith is says that "Outputs all trades, including traded prices and time of trades. "
Actually, I am having difficulties in finding the actual file that reports these.
Thank you!
Hi Fuzhi,
Econometrically speaking, yes, it would be more intuitive to pick pairs according to a cointegration analysis since it implies a stationary residual from the linear transformation.
But, what I set out to do in the code was to have the simplest case of pairs trading. This justify the use of quadratic error and correlation to find the pairs.
Regards,
Marcelo.
Hi, Marcelo:
Would it better to build a cointegration analysis into the pair selection process? Basically you pick the pairs, triples or whatever, that are cointegrated. That seems to be more statistically sound.
Thanks. Fuzhi
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