Comments for Stats raving mad http://www.statsravingmad.com/blog The blog Sat, 21 Aug 2010 05:14:17 +0000 hourly 1 http://wordpress.org/?v=3.3.1 Comment on Poor man’s pairs trading… by Jared http://www.statsravingmad.com/blog/statistics/poor-mans-pairs-trading/#comment-591 Jared Sat, 21 Aug 2010 05:14:17 +0000 http://www.statsravingmad.com/blog/?p=1237#comment-591 Interesting article, thanks! Also I find looking at correlation reading in tandem with co-integration can help signal performance. And like any other good trading system, looking at related news items. It's often said that liquidity plays a key role in pair trading alpha generation, for example industry news may be released, the largest liquid stocks can price that news in quicker, however small less liquid stocks may take longer, creating a lead-lag effect and of course a pair trading opportunity. Knowing why it works is just as important as proving it works. Interesting article, thanks!

Also I find looking at correlation reading in tandem with co-integration can help signal performance. And like any other good trading system, looking at related news items. It’s often said that liquidity plays a key role in pair trading alpha generation, for example industry news may be released, the largest liquid stocks can price that news in quicker, however small less liquid stocks may take longer, creating a lead-lag effect and of course a pair trading opportunity. Knowing why it works is just as important as proving it works.

]]> Comment on Read a new book… by Manos Parzakonis http://www.statsravingmad.com/blog/infos/read-a-new-book/#comment-519 Manos Parzakonis Thu, 05 Aug 2010 09:44:29 +0000 http://www.statsravingmad.com/blog/?p=1325#comment-519 Yes, that was my first intention to post but It kept giving me an error of existence in the R-forge. Is it working now? Yes, that was my first intention to post but It kept giving me an error of existence in the R-forge.

Is it working now?

]]> Comment on Read a new book… by Tal Galili http://www.statsravingmad.com/blog/infos/read-a-new-book/#comment-507 Tal Galili Sat, 31 Jul 2010 21:06:10 +0000 http://www.statsravingmad.com/blog/?p=1325#comment-507 Hi there, Notice how the author suggests using: install.packages("IPSUR", repos="http://R-Forge.R-project.org") For the newest version. Hi there,
Notice how the author suggests using:
install.packages(“IPSUR”, repos=”http://R-Forge.R-project.org”)
For the newest version.

]]> Comment on Poor man’s pairs trading… by Nim http://www.statsravingmad.com/blog/statistics/poor-mans-pairs-trading/#comment-74 Nim Mon, 03 May 2010 02:42:47 +0000 http://www.statsravingmad.com/blog/?p=1237#comment-74 Thanks for example. Looking forward for part two. Nim Thanks for example. Looking forward for part two.

Nim

]]> Comment on R 2.11.0 just landed… by Changing your R upgrading strategy (and the R code to do it on Windows) | R-statistics blog http://www.statsravingmad.com/blog/infos/r-2-11-0-just-landed/#comment-62 Changing your R upgrading strategy (and the R code to do it on Windows) | R-statistics blog Fri, 23 Apr 2010 22:45:21 +0000 http://www.statsravingmad.com/blog/?p=1266#comment-62 [...] you didn’t hear it by now – R 2.11.0 is out with a bunch of new [...] [...] you didn’t hear it by now – R 2.11.0 is out with a bunch of new [...]

]]> Comment on Poor man’s pairs trading… by Shane http://www.statsravingmad.com/blog/statistics/poor-mans-pairs-trading/#comment-56 Shane Tue, 13 Apr 2010 03:23:52 +0000 http://www.statsravingmad.com/blog/?p=1237#comment-56 Nice, thanks! Nice, thanks!

]]> Comment on Poor man’s pairs trading… by M. Parzakonis http://www.statsravingmad.com/blog/statistics/poor-mans-pairs-trading/#comment-55 M. Parzakonis Mon, 12 Apr 2010 10:45:45 +0000 http://www.statsravingmad.com/blog/?p=1237#comment-55 Obviously, I don't know if there is an underlying mean-reversion process. My initial purpose was to give more of an illustrative example and get back with another post (more technical on stats) in a couple of days. Obviously, I don’t know if there is an underlying mean-reversion process.

My initial purpose was to give more of an illustrative example and get back with another post (more technical on stats) in a couple of days.

]]> Comment on Poor man’s pairs trading… by Paul Teetor http://www.statsravingmad.com/blog/statistics/poor-mans-pairs-trading/#comment-53 Paul Teetor Mon, 12 Apr 2010 03:12:11 +0000 http://www.statsravingmad.com/blog/?p=1237#comment-53 Where are you testing for cointegration? In other words, how to you know this pair will revert to their mean? Perhaps they will continue moving apart you will go broke. Paul Where are you testing for cointegration? In other words, how to you know this pair will revert to their mean? Perhaps they will continue moving apart you will go broke.

Paul

]]> Comment on Poor man’s pairs trading… by Pair Trading Software http://www.statsravingmad.com/blog/statistics/poor-mans-pairs-trading/#comment-52 Pair Trading Software Sun, 11 Apr 2010 20:30:53 +0000 http://www.statsravingmad.com/blog/?p=1237#comment-52 [...] Poor man’s pairs trading… |Stats raving mad [...] [...] Poor man’s pairs trading… |Stats raving mad [...]

]]> Comment on A quicky.. by Twitter Weekly Updates 2010-03-29 http://www.statsravingmad.com/blog/statistics/a-quicky/#comment-32 Twitter Weekly Updates 2010-03-29 Mon, 29 Mar 2010 17:36:37 +0000 http://statsravingmad.wordpress.com/?p=953#comment-32 [...] about PCA in R. #rstats http://statsravingmad.wordpress.com/2010/02/23/a-quicky/ [...] [...] about PCA in R. #rstats http://statsravingmad.wordpress.com/2010/02/23/a-quicky/ [...]

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