All Questions
Tagged with optimal-hedge-ratio pairs-trading
4
questions
0
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1
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767
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Pairs trading using dynamic hedge ratio - how to tell if stationarity of spread is due to genuine cointegration or shifting of hedge ratio?
I'm very new to pairs trading, and am trying it out on a few dozen pairs.
It seems very natural to me to use a dynamic hedge ratio, as it seems likely that the ratio will move over time.
To accomplish ...
- 277
0
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1
answer
800
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Pairs trading/Cointegration confusion
I've been trying to wrap my head around cointegration. Currently I use the log returns of both stocks A and B, calculate the spread given by:
$S = log(A) - n*log(B)$ where $n$ is the Hedge Ratio ...
1
vote
0
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Constructing a Beta Neutral Hedge in a Pairs Strategy
Looking for resources / explanation.
Creating a dollar neutral hedge is easy - stockprice-a/stockprice-b
How do I create a beta neutral hedge?
I find discussions but no explicit derivation ...
- 111
1
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Pair trading: Hege ratio by price ratio or by regression on the stocks
So I feel things like this question do exist on the site however I failed to form a conclusion based on what was written, so I decided to formulate my query as exactly as possible and hopefully anyone ...
- 111