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Cointegration and Pairs Trading with Econometrics Toolbox

Stuart Kozola, MathWorks
William Mueller, MathWorks

Learn how Econometrics Toolbox can be used to create better time-series models and forecasts.  In this webinar, we will introduce new capabilities with the R2011a release of Econometrics Toolbox that include cointegration tests and vector-error-correcting (VEC). 

Short examples will be used to illustrate the new features followed with an applied case study in pairs trading.

About the Presenters:
Stuart Kozola is a product manager at MathWorks and focuses on MATLAB® and add-on products for computational finance.
William Mueller is a developer at MathWorks and focuses on computational finance products, including Econometrics Toolbox™.

View example code from this webinar here:

Product Focus

  • Econometrics Toolbox

Recorded: 17 Jan 2013