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by PavelG
May 8th, 2013, 5:34 pm
Forum: Programming and Software Forum
Topic: Julia
Replies: 1
Views: 7901

Julia

I ve heard about this programmng language. Is it good for developmeant high freq , quant strategies, option pricing? thanks
by PavelG
December 20th, 2011, 12:29 pm
Forum: Numerical Methods Forum
Topic: Numerical Laplace Transform in C# to an array
Replies: 4
Views: 31646

Numerical Laplace Transform in C# to an array

<r>I need to calculate inverse laplace transform at zero, but this algorithm is infinit at zero <URL url="http://www.codeproject.com/KB/recipes/LaplaceTransforms.aspx"><LINK_TEXT text="http://www.codeproject.com/KB/recipes/L ... forms.aspx">http://www.codeproject.com/KB/recipes/LaplaceTransforms.asp...
by PavelG
December 13th, 2011, 12:51 pm
Forum: General Forum
Topic: Correlation and pairs trading
Replies: 7
Views: 20179

Correlation and pairs trading

<t>QuoteOriginally posted by: HOOKQuoteOriginally posted by: chicagokidConventional wisdom dictates that if stocks A and B are correlated, a mean reversion strategy should be profitable on a fairly consistent basis.Correlation does not imply mean reversion. They must cointegrate to garantee that.Yes...
by PavelG
December 13th, 2011, 11:58 am
Forum: Trading Forum
Topic: Tick data level metrics for market direction
Replies: 1
Views: 17134

Tick data level metrics for market direction

Also, for example imbalance of trade volume
by PavelG
December 13th, 2011, 11:54 am
Forum: Trading Forum
Topic: cointegration based pair trading
Replies: 28
Views: 24255

cointegration based pair trading

<t>QuoteOriginally posted by: humtumiitI am using 4 years of data to pick co-integrated pairs. I am regressing S1 ~ S2 over 4 years of daily data. I used ADF test to test for co-integration and list of pairs which are co-integrated. I found that spread is mean reverting or stationary but the rate of...
by PavelG
December 13th, 2011, 10:29 am
Forum: Trading Forum
Topic: Independent variable
Replies: 10
Views: 16916

Independent variable

<t>QuoteOriginally posted by: PavelGQuoteOriginally posted by: PavelGQuoteOriginally posted by: humtumiitI have 2 stocks and How should I decide on the independent variable while testing for co integration? We can not say which one is dependent on other. We can consider any one of them as independen...
by PavelG
December 13th, 2011, 10:29 am
Forum: Trading Forum
Topic: Independent variable
Replies: 10
Views: 16916

Independent variable

<t>QuoteOriginally posted by: PavelGQuoteOriginally posted by: PavelGQuoteOriginally posted by: humtumiitI have 2 stocks and How should I decide on the independent variable while testing for co integration? We can not say which one is dependent on other. We can consider any one of them as independen...
by PavelG
December 13th, 2011, 10:29 am
Forum: Trading Forum
Topic: Independent variable
Replies: 10
Views: 16916

Independent variable

<t>QuoteOriginally posted by: PavelGQuoteOriginally posted by: humtumiitI have 2 stocks and How should I decide on the independent variable while testing for co integration? We can not say which one is dependent on other. We can consider any one of them as independent but which stock as independent ...
by PavelG
December 13th, 2011, 10:29 am
Forum: Trading Forum
Topic: Independent variable
Replies: 10
Views: 16916

Independent variable

<t>QuoteOriginally posted by: humtumiitI have 2 stocks and How should I decide on the independent variable while testing for co integration? We can not say which one is dependent on other. We can consider any one of them as independent but which stock as independent variable would make more sense? 1...
by PavelG
December 13th, 2011, 9:55 am
Forum: Trading Forum
Topic: What kind of algo trades for FX?
Replies: 8
Views: 20901

What kind of algo trades for FX?

You can try Recurrent Reinforcement Learning (RRL), but it is very difficult to get good sharpe by meant this method
by PavelG
December 13th, 2011, 9:43 am
Forum: Trading Forum
Topic: Constructing a pairs trade
Replies: 19
Views: 49197

Constructing a pairs trade

<t>QuoteOriginally posted by: cygat6564This is an elementary question regarding the construction of a pairs trade. What is the correct way to calculate the weightings for each individual equity? Will a simple linear regression provide the correct weightings? Also does it matter if I am basing my tra...
by PavelG
December 12th, 2011, 1:10 pm
Forum: Programming and Software Forum
Topic: C# Numerical Library
Replies: 14
Views: 32774

C# Numerical Library

<t> I have used AlgLib for a long time for my own research in statistical arbitrage. It contains a lot of required features like linear algebra, optimization, descriptive statistics, FFT and much more. But the API of this library is not very convenient. Thus, recently I have decided to switch to Fin...
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