I have to disagree. There are plenty of examples of pairs that continue to work. However, I do agree with you that triplets offer fresh...
Any major broker will charge 1/10 c per share, or less, depending on volumes.
You make a good point. And, indeed, one approach is to implement the strategy in a limited number of pairs in stocks you know inside out, as you...
Pairs Trading = Numbers Game One of the first things you quickly come to understand in equity pairs trading is how important it is to spread your...
I was referring to the overall portfolio, not the individual positions.
The divergences from fair value would have to be big enough to be profitable to trade. There are lots of examples of pairs that are very tightly...
The problem with correlation is that it can easily arise from two completely unrelated random processes (including stock prices) just by random...
Yes you have described the idea behind the Kalman Filter very well. 1. In theory I suppose you could use a KF to model the link between a stock...
1. Actually, no. It would be highly unusual to find a pair for which beta is constant. Instead, the model assumes that beta(t) changes over...
I don't recall reading anything about using for correlation estimation. It's an interesting idea. But the KF isn't really a prediction tool, as...
We can take market data from the api, or from another source.
Its dollar neutral - $100 long, $100 short
2:1
It's all handled through the C++ api (or C# or Python as required). For pairs we can do market or resting orders (crossing the spread on the...
Separate names with a comma.