Trading strategies
Moneyball: Finding Undervalued Pairs Using Unconventional Metrics
Previously: A Tale of Two Prices (the core idea of stat arb) Last time we established that stat arb is
pairs trading
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Trading strategiesA Tale of Two Prices
Part 1 of a series on Statistical Arbitrage for Independent Traders. It was the age of wisdom, it was the
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Cointegrationk-means clusteringRTrading strategiesPairs Trading Literature Review
This post summarises the key lessons of the academic literature that has been published on pairs trading. The key themes
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BacktestingQuant tradingRTrading strategiesZorro
Kalman Filter Pairs Trading with Zorro and R
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
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CointegrationQuant tradingTrading strategiesZorro
Pairs 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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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
