Benjamin Kjellson
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 May30 awarded Enthusiast Mar12 awarded Scholar Mar12 accepted Pairs trade CDS contracts using cointegration Mar12 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. Mar12 comment Pairs trade CDS contracts using cointegration With a position in the underlying bond you mean? Mar12 asked Pairs trade CDS contracts using cointegration Mar9 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. Feb9 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? Oct28 awarded Disciplined Oct27 awarded Editor Oct26 awarded Student