Pairs trading
2 stories tagged Pairs trading on Learning Fanatic.
Lesson 5.2: Mean reversion and pairs trading
Learn mean reversion: z-score entries, the Ornstein-Uhlenbeck model and half-life, pairs trading, and why a high win rate can hide rare, large losses.
Lesson 2.3: Regression, correlation and cointegration
Learn correlation, beta and linear regression, why regressing prices on prices misleads, and how cointegration and a spread's half-life underpin pairs trading.