Pairs Trading with Kalman Filters: Dynamic Hedge Ratios
Why a static OLS beta falls short: estimating a time-varying hedge ratio with a state-space model and building a cointegration strategy.
Notes on algorithmic strategy research, backtesting discipline, data quality and quantitative thinking.
Why a static OLS beta falls short: estimating a time-varying hedge ratio with a state-space model and building a cointegration strategy.
Why do strategies that look great on paper collapse live? Common methodological errors, shown with example code.