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visits member for 3 years
seen Dec 5 '12 at 7:11

Jul
2
awarded  Curious
Dec
2
awarded  Popular Question
Sep
25
awarded  Notable Question
Apr
29
awarded  Notable Question
Dec
4
awarded  Popular Question
Nov
11
accepted Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Oct
20
comment Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Thanks Freddy, definitely food for thoughts.
Oct
20
asked Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Aug
8
asked How to normalize different instruments by volatility?
Jun
13
awarded  Popular Question
Jan
24
comment What is the correct procedure to choose the lag when preforming Johansen cointegration test?
I would deeply appreciate if someone who has a good answer could answer my question. I think it can help people in this group because it is a common problem when constructing a cointegration system.
Jan
22
asked What is the correct procedure to choose the lag when preforming Johansen cointegration test?
Nov
2
asked The difference between Close price and Settelment Price for future contracts
Oct
29
awarded  Nice Question
Oct
29
accepted How to normalize Futures data(different leverage) for cointegration test?
Oct
28
comment How to normalize Futures data(different leverage) for cointegration test?
but my problem quantGuy is that if you want to trade such a portfolio the different leverage of each instrument is not taken into account.What I think should be done is multiply the price by the point value and then look for cointegration. Does it make sense to you?
Oct
27
asked How to normalize Futures data(different leverage) for cointegration test?
Oct
26
accepted Should cointegration be tested using close or adjusted close prices?
Oct
25
comment Should cointegration be tested using close or adjusted close prices?
Thanks Tal. What do you mean by 'Total returns'?
Oct
24
asked Should cointegration be tested using close or adjusted close prices?