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slacknoise
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Joined: February 24th, 2014, 2:57 pm

Arbitrage in Matlab

May 27th, 2014, 12:38 pm

I was wondering if somebody would be willing to share a matlab file concerning ADR/ local arbitrage or Pairs trading with me (others than those provided on mathworks, which are just a few). I am currently working on this one and would appreciate any additional information or advices. thanks in advance
 
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octaval
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Joined: February 7th, 2014, 9:32 pm

Arbitrage in Matlab

June 3rd, 2014, 8:18 pm

You could buy Ernie P Chan's books: "Quantitative Trading" and "Algorithmic Trading: Winning Strategies and Their Rationale". He uses Matlab and describes some arbitrage strategies. Both books give access to Matlab code implementing some sample strategies.
 
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eh
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Joined: March 2nd, 2010, 9:26 am

Arbitrage in Matlab

June 4th, 2014, 12:27 pm

I'm sure that there is loads of example cointegration code on the web (not necessarily finance related). Look at that stuff.Moving from theory to a trading strategy that actually works is very difficult (and can only be properly tested by live trading). Anyone who can complete this step is unlikely to share their code (either because they are making money from it or because the code they wrote legally belongs to the company they work for).
 
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octaval
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Arbitrage in Matlab

June 5th, 2014, 7:25 pm

QuoteOriginally posted by: octavalYou could buy Ernie P Chan's books: "Quantitative Trading" and "Algorithmic Trading: Winning Strategies and Their Rationale". He uses Matlab and describes some arbitrage strategies. Both books give access to Matlab code implementing some sample strategies.Never said these where profitable, production, ready to deploy strategies. Of course nobody in their mind disclose their strategies.