Tagged Questions
3
votes
1answer
127 views
How to determine ratios for mean-reverting basket
Suppose I have a basket of 3 securities A, B, and C. I believe that the basket is cointegrated and I want to create a mean-reverting trade. I fit the model:
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-1
votes
1answer
298 views
Regression and its application [closed]
I am currently working on model where I am using 21 period moving regression line and RSI to gauge trading opportunity. I am more interested in enhancing this using rest of regression parameter such ...
-3
votes
1answer
338 views
Trading Strategies and Portfolio Constructions based on Cross Sectional Regression? [closed]
I often see trading strategies and portfolio construction that are based on cross-sectional regression. For example, I often see regressing some numbers against some factors.
I was wondering how ...
-4
votes
1answer
369 views
How to calculate the weight of the stocks using the linear regression?
I do a simple example with the follow three series(stocks prices):
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