Making money on forex is impossible - page 55
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No need to quote without understanding. Correlation for pairs trading is not important at all.
Another obvious error in the same source is not understanding the difference between beta neutrality and self-financing. Moreover, both are called market neutrality and the first approach is proposed to be implemented by the methods of the second. This is p@#$%^ in general.
Further - 2007 was a bad year, not because of rascorrelations, but because of similar risk models and consequently identical residual risks (which gave rise to the same).
p.s. "averaging" in portfolio models may not increase risk, but rather reduce it. In addition, it is limited and has a pretty good rationale.
to understand in the beginning - you have to. then it will be easier to determine where to dig next.
Because pair trading can be profitable with any cross-correlation. If, of course, you calculate it correctly (ooh, there's been a lot of debate on the forum about the right way to calculate it :D).
And no one has shown anything correct yet
Because pair trading can be profitable with any cross-correlation. If you calculate it correctly, of course (ooh, there's been a lot of debate on the forum about the right way to calculate it :D).
Somebody's got to get off! Larry's cool, you can't tell.
and no one has shown anything right yet
It is enough to count by definition on the increments. And then two questions arise, one of which is simple (type of increments), and the second is complicated, but solvable (evaluation of the quantization step and inferences from the obtained solutions).
On this forum for ten years they cannot build a regression line mathematically correct, so to say about correlation.
Don't generalize. The expanded (((x^t)*x)^(-1))*(x^t)*y has been seen here so many times already...
It is enough to count by definition on the increments. And then two questions arise, one of which is simple (type of increments), and the other is complicated, but solvable (evaluation of the quantization step and inferences from the obtained solutions).
Don't generalise. The expanded (((x^t)*x)^(-1))*(x^t)*y has been seen here so many times already...
It's a bit complicated. Keep it simple.
That's a bit complicated. Keep it simple.
As for the correlation, I can say that the analysis requires a criterion for identifying nonlinear correlations of one order or another, as well as a method for transforming the series so that only linear correlations remain. This can be informally judged by the ACF, but I don't recall anything like that on the forum. People don't go any further than Spearman.
When you get a full understanding of the arbitrage situation, you can forget all about correlation.
When you have a full understanding of the arbitrage situation, you can forget all about correlation.