CointegrationQuant tradingRTime series modellingTools of the tradeTrading strategies
Practical Pairs Trading
Some price series are mean reverting some of the time, but it is also possible to create portfolios which are
cointegration
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Quant trading
Hurst Exponent for Algorithmic Trading
This is the first post in a two-part series about the Hurst Exponent. Tom and I worked on this series
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BacktestingCointegrationFXQuant tradingRTrading booksTrading strategiesZorro
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