tag:blogger.com,1999:blog-35364652.post3639539980515409009..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: Do Gold and Oil Cointegrate?Ernie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger9125tag:blogger.com,1999:blog-35364652.post-16684355042378297682011-07-22T09:41:59.948-04:002011-07-22T09:41:59.948-04:00The german Bundesbank provides daily London 4pm fi...The german Bundesbank provides daily London 4pm fixings of Gold (in US$) going back to 1968 in the statistics section of its page. <br /><br />http://www.bundesbank.de/statistik/statistik_zeitreihen.en.php?lang=en&open=devisen&func=list&tr=www_s332_b01015_3Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-12378030505651082932008-01-13T15:21:00.000-05:002008-01-13T15:21:00.000-05:00Dear Bogaso,I use a service called Quotes Plus to ...Dear Bogaso,<BR/>I use a service called Quotes Plus to obtain my historical futures data. See http://www.great-stocks.info/.<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-28062550830261928972008-01-12T03:45:00.000-05:002008-01-12T03:45:00.000-05:00Hi Ernie,I am an independent researcher and curren...Hi Ernie,<BR/><BR/>I am an independent researcher and currently studying VAR model, co-integration etc. I just gone through your blog on the same subject. What I want is to replicate your analysis, so that I would get better understanding on the co-integration. Can I have you data that you used exactly here? Your help will be highly appreciated.<BR/><BR/>Regards,Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-62785454822819801292007-02-21T20:01:00.000-05:002007-02-21T20:01:00.000-05:00yes, for some reason after being tightly coupled f...yes, for some reason after being tightly coupled for a while, the last 3 months, RDS-A has outperformed RDS-B. I don't know if this is occurring, but could this be due to RDS-A being bought back on the open market, but not RDS-B? <BR/><BR/>http://finance.yahoo.com/q/bc?s=RDS-A&t=6m&l=on&z=m&q=l&c=rds-bmr2yuhttps://www.blogger.com/profile/05251617294993621411noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-8258268096337656702007-02-21T16:30:00.000-05:002007-02-21T16:30:00.000-05:00Yes, for sure a pair like RDS-A and RDS-B should c...Yes, for sure a pair like RDS-A and RDS-B should cointegrate. In fact, I will take a look at them soon.<BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-85410591100251706412007-02-21T16:22:00.000-05:002007-02-21T16:22:00.000-05:00Don't thank me, thank Google. I've often thought ...Don't thank me, thank Google. <BR/><BR/>I've often thought closed end bond funds and a similar open-end fund should cointegrate (even before I knew what cointegration was). But what about something even more similar, like RDS-A and RDS-B? Some days one will rise and the other fall, but clearly that cannot continue.mr2yuhttps://www.blogger.com/profile/05251617294993621411noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-79178897002347591312007-02-17T23:56:00.000-05:002007-02-17T23:56:00.000-05:00mr2yu: Thank you so much for your data sources. Re...mr2yu: <BR/>Thank you so much for your data sources. <BR/><BR/>Regarding your question: if oil/gold ratio increases monotonically, they will not remain cointegrated. Maybe your observation is an argument that they shouldn't be over the long term!<BR/><BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-73255061004959814162007-02-16T17:48:00.000-05:002007-02-16T17:48:00.000-05:00and monthly west texas crude oil prices back to 19...and monthly west texas crude oil prices back to 1946<BR/>http://www.economagic.com/em-cgi/data.exe/var/west-texas-crude-long<BR/><BR/>by the way, if oil becomes scarcer, shouldn't the ratio oil/gold increase even if they are cointegrated? Gold on the other hand isn't "consumed", there is more and more all the time.mr2yuhttps://www.blogger.com/profile/05251617294993621411noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-35884226295433392562007-02-16T17:40:00.000-05:002007-02-16T17:40:00.000-05:00I enjoy reading your blog.here is a source of mont...I enjoy reading your blog.<BR/><BR/>here is a source of monthly gold prices for 1968-1999<BR/>http://www.kitco.com/charts/historicalgold.html<BR/><BR/>click on the appropriate buttons for monthly 1968-1999 and view the datamr2yuhttps://www.blogger.com/profile/05251617294993621411noreply@blogger.com