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by prfj
December 12th, 2011, 8:07 pm
Forum: Trading Forum
Topic: Capital structure arbitrage: common and preferred stock
Replies: 1
Views: 20248

Capital structure arbitrage: common and preferred stock

4 months late but: "How to handle missing price data? For some of the preferred shares, prices are missing from some dates. Do I replace missing prices with the last observed price?" you could use the bid ask quote instead of the last transaction
by prfj
December 12th, 2011, 8:03 pm
Forum: Trading Forum
Topic: minimizing impact of transaction costs
Replies: 1
Views: 17351

minimizing impact of transaction costs

1) you could look at taking similar markets but with a smaller % bid/ask spread, eg. FAS as opposed to XLF (nysearca), but that's just a start3) you would probably need to get as many aspects in your favor as possible for it to work.
by prfj
December 12th, 2011, 7:58 pm
Forum: Trading Forum
Topic: cointegration based pair trading
Replies: 28
Views: 23817

cointegration based pair trading

Also you could look at the fundamentals behind the pair.. CMCSA CMCSK for example, nasdaq
by prfj
December 12th, 2011, 7:31 pm
Forum: General Forum
Topic: Correlation and pairs trading
Replies: 7
Views: 20026

Correlation and pairs trading

Are you sure about "Conventional wisdom dictates that if stocks A and B are correlated, a mean reversion strategy should be profitable on a fairly consistent basis"? Really sure?
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