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c00kiemonster

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233 reputation
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visits member for 2 years, 3 months
seen Sep 26 '12 at 3:20
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233 reputation
 bio website visits member for 2 years, 3 months
14 badges
 location seen Sep 26 '12 at 3:20
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2 Questions

votes activity newest
6
 How does Kalman filtering of beta in pairs trading model work in R?
5
 How do I incorporate time-variability in a pair trading framework?

233 Reputation

+30 How does Kalman filtering of beta in pairs trading model work in R?
+25 How do I incorporate time-variability in a pair trading framework?
+75 Why would an investor trade a variance swap over a volatility swap?

1 Answer

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6
 Why would an investor trade a variance swap over a volatility swap?

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volatility
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cointegration
6
variance
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beta
6
swaps
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pair-trading
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time-series

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