Benjamin Kjellson

18 reputation

	18 reputation	bio	website		visits	member for	1 year, 7 months
4 badges		location			seen	24 mins ago

10 Actions

Mar 12	awarded	Scholar
Mar 12	accepted	Pairs trade CDS contracts using cointegration
Mar 12	comment	Pairs trade CDS contracts using cointegration Ok: having bought the CDS, I sell it before having to make the next quarterly payment, and vice versa, having sold the CDS, I'd sell it before—when? Default? (might be hard). I guess as a seller I would like to receive the quarterly payment.
Mar 12	comment	Pairs trade CDS contracts using cointegration With a position in the underlying bond you mean?
Mar 12	asked	Pairs trade CDS contracts using cointegration
Mar 9	comment	Pairs trading: Question on non-negative profits, size of the positions and trading signals I don't see why you would want to go long-short in equal amounts: the cointegrating relationship says that $X_t - bY_t = a + \epsilon_t$ is stationary. In the case of just two variables, the cointegrating relationship (cointegrating vector) is unique up to a scalar (i.e. $\lambda X_t - \lambda b Y_t = \lambda a + \lambda \epsilon_t$ is also stationary). This means that unless $b=1$, you DON'T want to go long/short in equal amounts; rather for every dollar you go long (short) in $X_t$, you want to go short (long) $b$ dollars in $Y_t$, since otherwise your position will be nonstationary.
Feb 9	comment	R ARMA-GARCH rugarch package doesn't always converge Have you tried several of the different optimization methods that rugarch offers, or just the default?
Oct 28	awarded	Disciplined
Oct 27	awarded	Editor
Oct 26	awarded	Student