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seen Jul 3 at 19:23

May
30
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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
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27
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