Cointegration & Mean Reversion: Ernest Chan’s Guide to Pairs Trading

Discover the power of cointegration in financial markets with Dr. Ernest P. Chan in this insightful lecture.
Learn how to develop mean reversion strategies using the concept of cointegration, where two price series are combined to create a stationary portfolio. This technique is widely used in pairs trading strategies and beyond.
Dr. Chan explains the application of cointegration in trading strategies with examples like the spread between the gold ETF (GLD) and 1.63 * gold miners ETF (GDX). You'll learn how to create a mean reverting strategy by taking long or short positions in these cointegrated assets.
Key concepts covered:
-What is cointegration?
-How to form a stationary portfolio
-Pairs trading strategy using GLD and GDX
-Understanding hedge ratios
-Difference between correlation and cointegration
This course is perfect for those interested in algorithmic and quantitative trading, providing practical and implementable knowledge.
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[@xavitorrents109]

thanks!

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[@HighPowerOptionsTrades]

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[@smudgepost]

Get a narrator..