9 июл. 2022 г. · Including a constant allows for a more flexible relationship between the two assets, where their prices may not move in perfect synchronization.

13 мар. 2022 г. · Pairs trading using dynamic hedge ratio - how to tell if stationarity of spread is due to genuine cointegration or shifting of hedge ratio?

28 февр. 2022 г. · Pairs trading using dynamic hedge ratio - how to tell if stationarity of spread is due to genuine cointegration or shifting of hedge ratio?

28 янв. 2017 г. · Pairs trading using dynamic hedge ratio - how to tell if stationarity of spread is due to genuine cointegration or shifting of hedge ratio? 1.

8 мая 2021 г. · You should not get a negative hedge ratio for 2 assets that are deemed to be co-integrated with a sufficient confidence level. If they are ...

4 дек. 2018 г. · Therefore, ˆY=γ⋅Pb+e where ˆY is the estimated stock A price and Pb the price of stock B. The coefficient γ would be the hedge ratio. Note that ...

3 февр. 2015 г. · Pairs trading using dynamic hedge ratio - how to tell if stationarity of spread is due to genuine cointegration or shifting of hedge ratio?

3 мая 2021 г. · Pairs trading using dynamic hedge ratio - how to tell if stationarity of spread is due to genuine cointegration or shifting of hedge ratio?

31 мая 2020 г. · Pairs trading using dynamic hedge ratio - how to tell if stationarity of spread is due to genuine cointegration or shifting of hedge ratio?

26 мая 2019 г. · By regressing one stock relative to the other you can attain a beta value often used in pair trading algorithms, which is used to define said spread.