12 июн. 2024 г. · In pairs trading you weigh the trade so that when the assets revert to their long term ratio, they're worth exactly the same, so your PnL is the ...

17 апр. 2023 г. · In the ratio case, you trade the series Y/X an unfold when the ratio crosses de hedge ratio estimate b_hat. On the spread case, you trade Y - Xb_hat and unfold ...

7 июн. 2021 г. · If I identify that the spread is stationary and is too high right now and I would enter a trade: Should I then rebalance the trade every minute ...

7 мар. 2017 г. · I am trying to generate dynamic hedge ratios by running an OLS or TLS regression using a lookback period for each day.

29 нояб. 2023 г. · hi do you have your own way to calculate a hedge ratio to size the position? or is it the slope of linear regression? Upvote 1. Downvote Reply ...

16 сент. 2020 г. · Say the spread is below a predefined threshold, which stock should you long and short and which is the one where the hedge ratio is applied? The ...

12 сент. 2023 г. · For example, in the cointegration approach you would short stock A once and buy stock B * hedge ratio depending on the direction. How do you ...

6 нояб. 2024 г. · One approach is to update your hedge ratios dynamically (and so adjust your position) till the moment you reach the exit signal. Sizing up is also possible.

3 февр. 2023 г. · Basically in pairs trading you have to have two instrument that you can trade long short both, the important thing that these pairs should have high correlated.

9 нояб. 2023 г. · The conceptual framework of pairs trading (short an overvalued stock and long an undervalued one until a catalyst is still often used in ...