Recent content by Jack1991

A (sales-free) comprehensive pairs trading workshop from 31st of May to 1st of June. Discusses the most widely used approaches and will dive deeper into the upsides and downsides of some of the trading strategies. TLDR: An Overview of Pairs Trading Strategies Distance Approach in Pairs...

Thanks for the share!

Its way too big, like 30 MB and this form only allows up to 4mb.

Just use your student email?

As an avid reader and student of pairs trading, I wanted to share an awesome resource for advanced pairs trading and mean-reverting portfolios. Hudson and Thames released a 165-page ebook, for free, on the topic. It covers everything from co-integration, copulas, optimal trading rules, and...

I really like Andrew Pole's introduction. He gave a far richer account of the background revolving pairs trading. More so than other authors.

Found the playlist for the Advanced Pairs Trading lecture series. It covers the various approaches to pairs trading with the addition of some new insights. Distance Approach Advanced measures of codependence Cointegration Approach Copula (basic + advanced vine copula trading strategy) Machine...

Can anyone explain to me why its so important to trash someones name on a forum? Is this the kind of culture you want to encourage? We did some good work based on his research, showed that it worked out of sample. We are excited and sharing it with the community and instead of opening a dialog...

So the large body of research regarding financial machine learning is related to classification rather than regression. The typical regression models used are CAPM and APT related, and a large amount of those use linear models, very dated. The financial ML papers out there focused on regression...

I think the best thing to do would be to reach out to their support and ask them directly. The lady I spoke to was Dorraine Burrell. I would be surprised if their data were dirty in this regard. If it is still a problem, please do let us know. It's certainly a noteworthy point.

When you purchase data it comes with software called TickWrite7. You can set the time stamp to the desired time zone, so all you need to do is adjust it.

Yes we used TickData.com for all of our research. They have really high quality data, and its cheap in comparison to other vendors. Our of interest, are you trying to implement the dollar / volume and information driven bars? Hence the need for tick data and volume? If so we are working on a...