Yeah, I could have been more informative there.....my apologies.

interesting research, thanks!

sounds reasonable. Any info on the breakdown by experience yet? I am very interested.

woah, us Chicago boys are getting the screws put to us!

that covers my question but now I have much more research to do. many thanks!

Very interesting project! Cuchulainn, what models would you recommend for handling that task? I started a very similar project in the past but put it on the back burner after hitting those issues....

Can I get a copy of the spreadsheet as well? Many thanks! Henderson.geoffrey@gmail.com

Ha, using something else in place of the cointegration vector is what I have been doing recently hence the question.

interesting marine, what are you using in your model if not the cointegration vector?

Good luck, are the expectations for Q2/3 publication now? I am pretty excited about this text.

Any reviews?

He gets that response for that link. Its really not that hard to make such a tool in matlab.

I'm interested as well if you run into this paper.

Commodity_NAME Comdty_Key OMON

<t>I agree with StatTrader and it can be rather confusing to those coming into the industry. Most shops that deal in the statarb world keep their info proprietary so there won't be an abundance of info out there for you to study but there is a book by Andrew Pole that may be a decent start. Best of ...