tag:blogger.com,1999:blog-35364652.post6079649742022800885..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: Does Canada belong to the Emerging Markets?Ernie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-35364652.post-40631154685782149832006-12-06T16:12:00.000-05:002006-12-06T16:12:00.000-05:00Henning: There is no normalization for stock price...Henning: There is no normalization for stock prices in my calculations. The number of lags (number of past periods to use in an autoregressive model for the prices) should be at least one, but can be more. If you have further questions, please feel free to email me. -ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-46530037077933395352006-12-06T15:24:00.000-05:002006-12-06T15:24:00.000-05:00Hi,
first thanks for your great page. It really sp...Hi,<br />first thanks for your great page. It really sparked my interest for cointegration and that stuff... matlab is already installed and I have the econometrics package ready.<br /><br />So, I tried to follow your numbers in, however I get different figures. What does that "number of lags" mean? and do you normalise the stock price before or can one directly enter the stock prices of the two shares you want to compare.. <br />and last: do you then take the number of lags which fits best as your result..?<br /><br />Sorry for the many questions, maybe you can help me.<br /><br />Thanks in advance, <br />Henninghennerhttps://www.blogger.com/profile/15381506750678483901noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-2172209883964535382006-12-01T07:53:00.000-05:002006-12-01T07:53:00.000-05:00Yaser: the situation you described is "risk arbitr...Yaser: the situation you described is "risk arbitrage" -- usually studied and traded in a different department in an investment bank from the "statistical arbitrage" trades that I am familiar with. Usually those of us in stat arb avoid buyout situations like the plague -- because we don't know how to analyze fundamentals! All we know how to do is to analyze historical price relationships. Nevertheless, I will take a look at this pair and see if I have any useful comments. Thanks for the suggestion!<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-34350940683173000242006-11-30T17:43:00.000-05:002006-11-30T17:43:00.000-05:00EC- What do you make of the arbitrage opportunitie...EC- What do you make of the arbitrage opportunities in HET and PD's stock prices from their buyout bids? As you know I've written about them but I lack the expertise of arbitraging, maybe when you have time you could talk about how you would have taken advantage of them in your hedge fund days or even now. <br /><br />Thanks a lot.NAhttps://www.blogger.com/profile/09308905056511377295noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-3496013713718329032006-11-30T17:26:00.000-05:002006-11-30T17:26:00.000-05:00EC- my bad I misread.EC- my bad I misread.NAhttps://www.blogger.com/profile/09308905056511377295noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-8619577966708739212006-11-29T11:53:00.000-05:002006-11-29T11:53:00.000-05:00Yaser: yes, Canada does cointegrate with natural r...Yaser: yes, Canada does cointegrate with natural resources, as the first chart shows. But it actually doesn't cointegrate with emerging markets, based on my calculations. The presence of financial services companies throw this off-course, I think, as the typical EM have few financial powerhouses in their index.<br />ECErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83358760745857033372006-11-29T11:45:00.000-05:002006-11-29T11:45:00.000-05:00EC-
the reason Canada correlates with emerging ma...EC-<br /><br />the reason Canada correlates with emerging markets is due to- natural resources. If u look at some of the most sought after EM they are resource based- from Brazil to Africa. Especially with Brazil, since TSX is 60% resource based...at least that's why the correlation exists in my viewNAhttps://www.blogger.com/profile/09308905056511377295noreply@blogger.com