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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 first contribution, Quantitative Trading, and focuses on...
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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 as the Augmented Dickey-Fuller test, the Hurst exponent and the...
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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 specifically constructed to have mean-reverting properties. Series that can be combined to...
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Kalman Filter Example:Pairs Trading in R
This Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading. Be sure to follow our progress in Part 2: Pairs Trading in Zorro, and Part 3: Putting It All...
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Pairs Trading in Zorro
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a pairs trading strategy. You know, light reading… We saw that while R makes it easy to...
View ArticlePairs Trading Literature Review
This post summarises the key lessons of the academic literature that has been published on pairs trading. The key themes are highlighted at the end of the page. Pair Trading Literature Review Gatev,...
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