Tuesday, February 27, 2007

Platinum-gold spread revisited

Now that Chinese New Year is over, it is time to revisit the Platinum-Gold spread that I talked about last November. The theory is that with the demand for gold seasonally exhausted due to the end of Asian festivities, gold prices will decline relative to platinum. We now have the opportunity to test this theory again.
at

4 comments:

  1. AnonymousWednesday, February 28, 2007 at 8:29:00 PM EST

    I would love to try running cointegration trials on various ticker pairs, and share my results.

    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)
    I'm sure that blog entry would drive more visitors (and subscribers?)

    Thanks, I'd love to join in the analysis!

    ReplyDelete
  2. AnonymousWednesday, February 28, 2007 at 8:42:00 PM EST

    Can you point me to the cointegration tests in the docs? Not seeing it.

    http://www.spatial-econometrics.com/

    ReplyDelete
  3. Ernie ChanThursday, March 1, 2007 at 5:01:00 AM EST

    Dear Anonymous,
    First, please let me clarify that the PL-GC trade is not based on cointegration. In fact, the belief is that the spread should diverge, not converge.

    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.

    Ernie

    ReplyDelete
  4. AnonymousThursday, March 1, 2007 at 8:08:00 AM EST

    > First, please let me clarify that the PL-GC trade is not based on cointegration.

    Right. I just posted here figuring it was the most recent entry. Sorry.

    ReplyDelete