For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 2

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Reshetov:
Everything can be created on history.
history is not the issue.
 
sanyooooook:
there's no history involved.
The same can be organised if you have a central bank in mind which will intervene to keep financial instruments within a given channel.
 
sol:
http://www.forexfactory.com/showthread.php?t=262827

Thanks for the link!

There the author gives the method via a one-sided linear multivariate regression.

The author also shows the results in a video.

I am posting similarly one of my results.

 
Reshetov:
It's called much shorter than the sub, namely portfolio investing. The pioneers obviously do not get you, try as they may to change the name, but the essence will not change. Everything can be created on history.

Above has brought a video. Between the vertical blue lines are the weighting factors. That's why there's such a great channel on this intraline construction. Behind the lines is Out of Sample.

Portfolio investing and search of market correlations have much in common, but they are separated by me.

P.S. From here:

The matrix method doesn't care what the nature of the initial BPs is. If it is SB (random walks), Recycle will still find dependencies on the final window. Although of course there are no dependencies as SB is pure martingale. That's what it would be - stretching the graph to fit the formulas.

 
sanyooooook:

ZS: I have a question for you: is it possible to create a synthetic that is always in a channel larger than the sum of the spreads of the instruments in that synthetic?


It is possible.
 
lea:

You can.
Facts.
 
I would like to discuss methods and approaches to the construction of synthetic tools with defined properties. And also approaches in determining the optimal properties of a tool for a TS.

I am not interested in pair trading. Interested in methods for creating market-neutral portfolios and optimal portfolios for market-neutral strategies. As well as other views on multi-fee analysis and trading.
 
Have you tried, in your research, to consider the behaviour of the entire currency basket that your set of majors creates? A basket (of currencies) is a "financial organism" (the first definition that comes to mind) that "lives" according to its own laws? In this context I am referring to the size of the equity of that basket.
 

I would still like to add - all the same - in the end it will all come down to a special case of Pair trading :) -

In order to get a little fixed equity - you would have to do - 1 currency against a basket - or a basket against a basket... and so... recalculating the whole group of currencies every bar is not practical...

 
TarasBY:
Have you tried, in doing your research, to consider the behaviour of the entire currency basket that your set of majors creates? A basket (of currencies) is a "financial organism" (the first definition that comes to mind) that "lives" according to its own laws? In this context I am referring to the size of the equity of that basket.
The thread you refer to is my first approach to multi-currency analysis. A lot has changed since then, mathematically sound methods have been published.
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