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Showing posts from December, 2013

Exploring pair trading opportunities with yahoo, python and LibreOffice

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I have been reading two books about quantative and algorithmic trading by Ernie Chan:
Quantitative Trading: How to Build Your Own...Algorithmic Trading: Winning Strategies and... See the books page for my reading recommendations.

One of the main take aways of this reading is the insight that it is possible to create stationary pairs by shorting and longing two, or more equities that usually move in tandem. The idea is to arbitrage the oscillating differences in moves between the equities in the pairs. Mr Chan explains all the mathematics behind mean reversion and provides Matlab code do the necessary calculus.