Algorithmic Trading

Metadata

• Author: Ernest P. Chan
• ASIN: B00CY5HC0U
• Reference: https://amazon.com/dp/B00CY5HC0U
• Kindle link

Highlights

Johansen test confirms the CADF test's conclusion that this pair is cointegrating. But, more interestingly, we add another ETF to the mix: IGE, an ETF consisting of natural resource stocks. We will see how many cointegrating relations can be found from these three price series. — location: 1312 ^ref-63898

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