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seen Dec 5 '12 at 7:11

Oct
20
comment Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
Thanks Freddy, definitely food for thoughts.
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.
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
25
comment Should cointegration be tested using close or adjusted close prices?
Thanks Tal. What do you mean by 'Total returns'?
Oct
6
comment How to interpret the eigenmatrix from a Johansen cointegration test?
Owen thank you for your detailed answer, it got my head straight. As for eigenvalue Half life is calculated by Log(2)/EigenValue. This is why you choose the biggest eigenvalue.