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visits member for 2 years, 5 months
seen Apr 9 '13 at 6:58

Jan
28
awarded  Notable Question
Oct
19
awarded  Notable Question
Apr
13
awarded  Yearling
Jan
30
awarded  Nice Question
Jan
30
comment How to detect structural breaks in variance?
that's what i was looking for! thank you! if you add an answer I will accept it.
Dec
10
awarded  Popular Question
Dec
7
awarded  Popular Question
May
26
awarded  Scholar
May
26
accepted How to calculate the weight of the stocks using the linear regression?
May
25
comment How to calculate the weight of the stocks using the linear regression?
@chrisaycock thank you for downvote.
May
25
comment How to calculate the weight of the stocks using the linear regression?
I need to understand how many stocks I need to buy or sell (it is not the point now ... the type of the trade). Know the coefficients are how many trade I need to buy for each A, but i can't buy 0.0041 stocks. So the question is how can I bring these numbers to the real trading number of stocks.
May
25
comment How to calculate the weight of the stocks using the linear regression?
Yes I know what the linear regression does, but with this question i'm asking how can apply the coefficients to my trades, I do a stupid example..... as you saw I have these coefficients: (0.030570 -0.004095) The question is that I can buy or sell 0.03 or 0.004 of a stock, I can but 1 2 3 4 etc etc stocks i can easily calculate the weight if i do a linear regression with two stock, mod = lm(a~b+0) but in this case i have 2 stocks (on the right) so what is the hedge ratio of this spread? I would like to know something like: A: 1 - B: 20 - C: 30
May
25
asked How to calculate the weight of the stocks using the linear regression?
Dec
9
awarded  Tumbleweed
Dec
3
comment How to balance two Forex crosses correctly to do a linear regression?
@Bootvis If I use the returns series I think that the coefficients of the linear regression will be "wrong", I mean, If I use returns instead of the procedure above I could get different returns BUT with the same "move" (the same number of pips)...so when I will look at the coefficients of the linear regression, I can't use the coefficient AS multiplier for lots. No?
Dec
3
revised How to balance two Forex crosses correctly to do a linear regression?
edited tags
Dec
3
asked How to balance two Forex crosses correctly to do a linear regression?
Nov
28
comment How to detect structural breaks in variance?
is there not a method that I can use with R ?
Nov
28
asked How to detect structural breaks in variance?
Nov
14
comment How to check if a timeseries is stationary?
@richardh what tests are you referring to? (about coefficients testing)