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Pairs trading in MATLAB

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Mate 2u
Mate 2u on 16 Feb 2012
Hi everybody. I watched the webinar for Pairs trading. I wanted to know. I have 2 Cointegrated assets, the data is second-second. How would I change the code to match this frequency? I mean how would I do demo 2 with 2 cointegrated assets but with second by second prices and from 2.30pm to 9pm?
Best wishes
  4 Comments
alessandro caserta
alessandro caserta on 7 Oct 2014
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

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Answers (1)

Mirko
Mirko on 19 Apr 2013
try resamplets (data2,2) if it is a financial times series

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