14
Jan
10

Pair Trading – Cointegration Testing

Ese es el nombre de un post muy interesante del blog Trading with Matlab.

Cointegration technique is sometimes used to do Pairs trading. By checking if a pair of stocks are cointegrated, one could go long on one stock and short on the other (multiplied by Hedge Ratio). We are thus trying to be market neutral.

Asi mismo, ofrece una check list para saber rapidamente si dos acciones estan cointegradas y dos papers para interiorizarse más en el tema.

Como grand finale, el codigo de Matlab.

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