What is Vector Autoregression The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
This Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
Some price series are mean reverting some of the time, but it is also possible to create portfolios which are
At Robot Wealth we get more questions than even the most sleep-deprived trader can handle. So whilst we develop the
I recently read Gary Antonacci’s book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, and it was
Introduction My first post on using machine learning for financial prediction took an in-depth look at various feature selection methods
Recently, I wrote about using mean-reversion time series models to analyze financial data and build trading strategies based on their
Important preface: This post is in no way intended to showcase a particular trading strategy. It is purely to share