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- 32 Results (1 Threads, 31 Replies)
- getch replied Mar 1, 2011
Sum(Coef^2) = 1 and Sum(|Coef|) = 1 — Your condition: Sum(Coef^2) = 1. Example, 0.6335^2 + 0.6773^2 + 0.3740^2 = 1 Recycle2 (Method4) condition: Sum(|Coef|) = 1. It is better.
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Mar 1, 2011
Arb-o-Mat vs Recycle2 — image image
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Feb 21, 2011
GetTickerHistory — Tool for further analysis: GetTickerHistory.
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Feb 14, 2011
Morgan Stanley (AUD + CAD + NOK + Oil) — Morgan Stanley (AUD + CAD + NOK + Oil)
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Jan 26, 2011
Statistical arbitrage, Pairs trade, Spread trade, Diversification, Portfolio diversif — Statistical arbitrage, Pairs trade, Spread trade, Diversification, Portfolio diversification, Portfolio trade
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Jan 26, 2011
Recycle2 - Tools for Statistical arbitrage — Recycle2 - Tools for Statistical arbitrage
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Jan 7, 2011
Comparison of all Recycle methods
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Dec 19, 2010
No. Look here. I can't see this. Please upload it to another place.
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Dec 18, 2010
The second condition is |b1| + |b2| + ... = 1.
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Dec 18, 2010
Regress use is an incorrect way — Why two standart deviations? Why not another (Koef * sd)? Your regressand is current Symbol. It is bad. Example: 1. Use linear regression (current Symbol is AUDUSD): coef1[AUDUSD] * AUDUSD = -coef1[EURUSD] * ...
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Dec 15, 2010
1. You analyzed, what best Koef? 2. You calculated what symbol through linear regress? AUDUSD = c1 * EURUSD + c2 * USDJPY +....?
Synthetic hedges, cointegration, mean reversion and similar stuff
- getch replied Dec 10, 2010
It agree. Coefficients all time adapt. The main thing is a hypothesis: Laws of the market change not quickly. The basket should be made, using laws of the market. But regress use is an incorrect way since regress isn't equal in rights to the members. ...
Synthetic hedges, cointegration, mean reversion and similar stuff