4
votes
1answer
175 views

Ornstein versus AR(1) for modeling stationary data

I've come across several posts regarding parameter estimation for O-U models given some stationary data (say, some sort of mean reverting spread), but I can't seem to find an answer as to why modeling ...
4
votes
3answers
988 views

Pairs trading: Question on non-negative profits, size of the positions and trading signals

I'm trying to backtest Pairs Trading but have become a bit confused on the different methods of selecting pairs, how to look for trading signals and what size of the positions to take in the assets. ...