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Pairs trading in MATLAB

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Mate 2u
Mate 2u on 16 Feb 2012
Hi everybody. I watched the webinar for Pairs trading. I wanted to know. I have 2 Cointegrated assets, the data is second-second. How would I change the code to match this frequency? I mean how would I do demo 2 with 2 cointegrated assets but with second by second prices and from 2.30pm to 9pm?
Best wishes

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Mate 2u
Mate 2u on 16 Feb 2012
I am assuming people have seen it, and am specifically targeting those people. Not people who have not.
Punyadip
Punyadip on 11 Mar 2012
Hi, Do you have link to the webinar.
alessandro caserta
alessandro caserta on 7 Oct 2014
Good Morning I watched the pairs trading webminar. I would like to ask if anyone can give me some information about the operation of certain parts of the code.
Is regression implemented in this part?
% The strategy: % 1 Compute residuals over next N days res = series2 (i: i + N-1, 1) ... - (Reg1.coeff (1) + reg1.coeff (2). * Series2 (i: i + N-1, 2)); -------------------------------------------------- -------------------------- I am also not clear about this part:
%2 If the residuals are large and positive, then the first series
%Is Likely to decline vs. the second series. Short the first
% Series by a scaled number of shares and long the second series by
1% share. If the residuals are large and negative, do the
% Opposite.
indicated (i: i + N-1) = res / reg1.RMSE;
s (i: i + N-1, 2) = (res / reg1.RMSE> spread) ...
- (Res / reg1.RMSE <-spread);
s (i: i + N-1, 1) = -reg1.coeff (2). * s (i: i + N-1, 2);
end
end
Thank you for your concern and time. Best regards, Caserta

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Answers (1)

Mirko
Mirko on 19 Apr 2013
try resamplets (data2,2) if it is a financial times series

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