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May
8
comment How to build a mean reverting basket?
@VictorP: Your question is very similar to the one asked just yesterday by Quant Guy. The paper I cite in my answer is an attempt to build such portfolios. There is also a post on the tr8dr blog related to that matter. You can find it by searching "cointegration clusters Tr8dr" on google.
May
7
answered cointegration applied to Portfolio Construction & Risk management
Apr
27
answered How to measure investors' “experienced” volatility?
Apr
23
accepted Statistical learning libraries
Apr
13
comment Two prices pass the cointegration test but there is a trend. How to check stationarity?
You can include a constant and a deterministic trend in your initial regression. You then test for the presence of the trend (ie the significance of the parameter before the trend term).
Apr
12
awarded  Popular Question
Feb
1
awarded  Yearling
Sep
12
awarded  Nice Answer
Aug
11
awarded  Nice Question
Jun
30
comment Variable Selection in factor models
You should be concerned with correlation among your inputs or at least used technics such as ridge regression when estimating your model.
Jun
28
comment How random are financial data series?
@asmaier: I just started reading about these tests but I think you may not have enough usable data finance.
Jun
23
accepted Measuring liquidity
Jun
22
asked Measuring liquidity
Jun
21
answered How random are financial data series?
Jun
20
answered How can I quantitatively test the validity of momentum indicators?
Jun
17
answered Who cares about autocorrelation?
May
31
comment Linear combination of gaussian random variables
You can look at the wikipedia page on multivariate normal distribution. There is a paragraph on multivariate normality test.
May
9
comment Minimizing Correlation
Can you be more specific about Fabozzi?
Apr
18
comment How are cryptography and speech recognition technology applied to forecasting financial markets?
Maybe these two posts can interest you: intelligenttradingtech.blogspot.com/…
Apr
18
comment Mean reverting Indicator
Also pair trading uses reversion to the mean of the spread between two stocks