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Pairs Trading Literature Review
This post summarises the key lessons of the academic literature that has been published on pairs trading. The key themes
Cointegration
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CointegrationQuant tradingTrading strategiesZorroPairs Trading in Zorro
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a
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BacktestingCointegrationQuant tradingRTime series modellingTrading strategies
Kalman Filter Example:
Pairs Trading in RThis Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
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Practical Pairs Trading
Some price series are mean reverting some of the time, but it is also possible to create portfolios which are
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Exploring Mean Reversion and Cointegration: Part 2
In the first Mean Reversion and Cointegration post, I explored mean reversion of individual financial time series using techniques such
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CointegrationFXQuant tradingRTrading booksZorro
Exploring mean reversion and cointegration with Zorro and R: part 1
This series of posts is inspired by several chapters from Ernie Chan’s highly recommended book Algorithmic Trading. The book follows Ernie’s