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Pairs Trading: A Bayesian Example

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  1. mathematics and statistics online!
  2. 1 INTRODUCTION.
  3. Expected Value (EV) & Bayesian Analysis In Trading | Macro Ops?
  4. Dynamic modeling of mean-reverting spreads for statistical arbitrage | SpringerLink.
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  6. Bayesian Optimization in Trading;

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1 Introduction

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Specifications ISBN Customer Reviews. Write a review. Ask a question. This is sometimes used as the basis for pairs trading.

But linear correlation is just one way that stocks or ETFs can be related. The analysis we present in this book can be used to exploit almost any kind of relationship that may exist between stocks or ETFs.


  • Pairs Trading using Data-Driven Techniques: Simple Trading Strategies Part 3.
  • Pairs Trading: A Bayesian Example by Stefan Hollos and J - Google Документи.
  • Dynamic modeling of mean-reverting spreads for statistical arbitrage.
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  • The book will show how to calculate the probability of a stock or ETF ending the day up or down based on what other stocks or ETFs are doing. A probability is more useful than a simple up or down signal.

    It quantifies the certainty of a prediction and allows a trader to take a position consistent with a given level of risk. Any active trader should find the techniques presented in this book useful.

    Expected Value (EV) & Bayesian Analysis In Trading | Macro Ops

    We are only going to examine the relationships in one small group of ETFs as an example of what is possible but the same techniques will work for any set of stocks, ETFs, or even bonds. The tool we use to calculate the probability of a positive or negative return on a stock or ETF is called a Bayesian classifier. It is called a classifier because it calculates probabilities for only two discrete outcomes: positive or negative.