Pairs trading in MATLAB

Question

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Hi everybody. I watched the webinar for Pairs trading. I wanted to know. I have 2 Cointegrated assets, the data is second-second. How would I change the code to match this frequency? I mean how would I do demo 2 with 2 cointegrated assets but with second by second prices and from 2.30pm to 9pm?

Best wishes

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Punyadip 2012-3-11

Hi, Do you have link to the webinar.

alessandro caserta 2014-10-7

在 MATLAB Online 中打开

Good Morning I watched the pairs trading webminar. I would like to ask if anyone can give me some information about the operation of certain parts of the code.

Is regression implemented in this part?

% The strategy: % 1 Compute residuals over next N days res = series2 (i: i + N-1, 1) ... - (Reg1.coeff (1) + reg1.coeff (2). * Series2 (i: i + N-1, 2)); -------------------------------------------------- -------------------------- I am also not clear about this part:

     %2 If the residuals are large and positive, then the first series
       %Is Likely to decline vs. the second series. Short the first
         % Series by a scaled number of shares and long the second series by
         1% share. If the residuals are large and negative, do the
         % Opposite.
           indicated (i: i + N-1) = res / reg1.RMSE;
           s (i: i + N-1, 2) = (res / reg1.RMSE> spread) ...
               - (Res / reg1.RMSE <-spread);
           s (i: i + N-1, 1) = -reg1.coeff (2). * s (i: i + N-1, 2);
       end
  end
Thank you for your concern and time. Best regards, Caserta