Benjamin Kjellson
Reputation
Top tag
Next privilege 20 Rep.
Talk in chat
1 4
Impact
~694 people reached

• 0 posts edited

# 11 Actions

 May 30 awarded Enthusiast 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 beforeâ€”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