Freewind

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184 reputation

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visits	member for	1 year, 7 months
	seen	Dec 5 '12 at 7:11
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7 Questions

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11	How to interpret the eigenmatrix from a Johansen cointegration test?
5	What is the correct procedure to choose the lag when preforming Johansen cointegration test?
5	The difference between Close price and Settelment Price for future contracts
4	Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
4	Should cointegration be tested using close or adjusted close prices?

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184 Reputation

+5	How to interpret the eigenmatrix from a Johansen cointegration test?
+5	Should cointegration be tested using close or adjusted close prices?
+20	Calculating the right portfolio(position size for each leg) in a Long/Short Strategy
+5	How to normalize different instruments by volatility?

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0 Answers

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12 Tags

0 cointegration × 4	0 equities
0 pair-trading × 2	0 volatility
0 futures × 2	0 portfolio
0 time-series	0 portfolio-management
0 auto-correlation	0 returns

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	Quantitative Finance	184 rep	17
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	Stack Overflow	16 rep	2
$Mathematics Stack Exchange$	Mathematics	1 rep

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