tag:blogger.com,1999:blog-35364652.post6554613000718049253..comments2024-03-15T10:28:18.248-04:00Comments on Quantitative Trading: Platinum-gold spread revisitedErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-35364652.post-87487857142724998572007-03-01T08:08:00.000-05:002007-03-01T08:08:00.000-05:00> First, please let me clarify that the PL-GC trad...> First, please let me clarify that the PL-GC trade is not based on cointegration. <BR/><BR/>Right. I just posted here figuring it was the most recent entry. Sorry.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-86988084506617041022007-03-01T05:01:00.000-05:002007-03-01T05:01:00.000-05:00Dear Anonymous,First, please let me clarify that t...Dear Anonymous,<BR/>First, please let me clarify that the PL-GC trade is <I>not</I> based on cointegration. In fact, the belief is that the spread should diverge, not converge.<BR/><BR/>Regarding the cointegration tests, look for the function cadf in the spatial econometrics package. The steps to run a cointegration test is described in quite some details in its instruction manual.<BR/><BR/>ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-66989452407196322282007-02-28T20:42:00.000-05:002007-02-28T20:42:00.000-05:00Can you point me to the cointegration tests in the...Can you point me to the cointegration tests in the docs? Not seeing it.<BR/><BR/>http://www.spatial-econometrics.com/Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-9573099571793015712007-02-28T20:29:00.000-05:002007-02-28T20:29:00.000-05:00I would love to try running cointegration trials o...I would love to try running cointegration trials on various ticker pairs, and share my results.<BR/><BR/>If it's easy for you, can you post a little step-by-step tutorial on how to run a cointegration test in MatLab? (I have just installed MatLab, but need to learn it) (What settings, where to put the data, how to figure the optimal quantities, etc)<BR/>I'm sure that blog entry would drive more visitors (and subscribers?) <BR/><BR/>Thanks, I'd love to join in the analysis!Anonymousnoreply@blogger.com