Anybody quant trading ?

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[Martinghoul]

I do, but not in equities... Don't use co-integration, as I don't find it practical.

 

[welshman]

can t sombody chuck this idiot of this forum

 

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[MrMiyagi]

WTF ?

You must have touched a nerve !

 

[fantastic]

I am referring specifically to a market neutral strategy, and to narrow it down- pairs trading.

Been reading a bit and as part of my econ. degree did a project on it with Eviews. i can see how the profit opportunities can be exploited, but wondering if there is anybody here who uses this technique in practice.

Common sense tells me that what we learn in the books and what happens in the market usually differs greatly. Is this the case too here ?

Plus, any tips on finding cointegrated pairs ?

Thanks

have you thought of using simple correlations ?
Help is free. Another question, please PM .
I was going to forget: when you PM, have your credit card ready, as
I like my expensive lifestyle.

 

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[fantastic]

I also accept cash. :cheesy:

 

[M20J]

You'd get a much more informed answer to your questions somewhere like the Wilmott forums or nuclearphynance. I understand few people run the raw pairs strategy any more (a la Andrew Pole - Statistical Arbitrage) and most have moved onto variations. A couple of places to look at are volatility pairs and the Andrew Neil Burgess PhD which you may already have seen. If not, a Google search should turn it up.

 

[GammaJammer]

presumably establishing cause / effect relationship is also of at least some importance. Do people who are pairs trading use granger causality?

 

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