Recent content by msardelich

Mayfly, Thanks a lot for the advice. Since, last thread I could find what I was looking for. There is a very complete MATLAB library developed by Le Sage (http://www.spatial-econometrics.com/) from University of Toledo. Better, it´s a public domain toolbox. The library will help me to catch...

Co-integration and pairs trading I am backtesting some pair trading systems using Welath-lab. The metric that I implemented to choose the best pairs is the minimum deviation from normalised spreads, considering 2 years (the same metric of Goetzmann paper). Things are going fine but I would...