From Pairs to Portfolio
I’m loving this series! Did you use a rolling hedge ratio inside your z-score graphs? I’m curious how the spread was constructed.
Thanks Matt! For the article, I just made some synthetic data generated by an OU process. In the actual implementation, I'm not using a hedge ratio - the spread is just the log of the ratio of prices.
I’m loving this series! Did you use a rolling hedge ratio inside your z-score graphs? I’m curious how the spread was constructed.
Thanks Matt! For the article, I just made some synthetic data generated by an OU process. In the actual implementation, I'm not using a hedge ratio - the spread is just the log of the ratio of prices.