<t>these are for equities. not sure if they apply to fx.?A New Approach to Modeling and Estimation for Pairs Trading, Binh Do, Robert Faff, Kais Hamza, Working Paper, May 29, 2006. ?Pairs Trading ? A Cointegration Approach. Arlen David Schmidt, Finance Honors Thesis, University of Sydney, November 2...

Here you goSuanShu Java statistics

<r>SuanShu is a pure Java library of numerical analysis and statistics.It has ARMA, ARIMA, ARCH, GARCH and GLM regression for your purpose.It is releasing cointegration and Hidden Markov chain modeling in Q1, 2011.<URL url="http://www.numericalmethod.com/javadoc/suanshu/">http://www.numericalmethod....

not sure if this comes in too late...SuanShu has a GARCH package that does simulation and fitting (same as in R).It is free if you have an academic email.

Marine,thanks for the tip :-)My most profitable strategy is also MR on intra-day trading, multiple assets.cheers!

<t>other questions to contemplate -at the 1min interval, are the time series dominated by noise, bid-ask bounce, or by the "real" prices?if the effects of these contaminations are too big, does it make sense to apply co-integration (or any other stats. techniqutes) on these data?what data cleaning, ...

Here is a list of hypothesis testing tests that I found very useful.I use them to analyze the significance of pnls and returns.hypothesis testing

AbhiJ,It is a good point. Thanks.

<r>It really depends on what you want to do *after* your studies. Do you want to do something that is more programming oriented (then do a degree in CS), or more math oriented (a degree in applied math, stat, MFE will help), or management (then MBA).You choose what area to study based on what you wa...

Matlab will be *very* slow if you are doing any MC simulations using the script language.If this is a long term project, you may consider investing in a C++ MC framework. There are some free math libary you may use to save some reinventing-the-wheel, e.g., Boost.

Effective C++

In R, the function is "eigen".

I know a few hedge funds are using Quantlib together with Python for their work.

how many ppl who graduated w/ a MSc even in financial engineering get a quant or trading job? can we have a poll?

DC is right. There are lots of job opportunities for those who have a degree in statistics. Also, after completing the MS, you have the option of going after a PHD. I also think that there are too many who have a MFE. Sounds over-supplied.