Pair-Trading with S&P500 Companies – Part I.

March 30, 2011

(This article was first published on QuantTraderQuantTrader » R, and kindly contributed to R-bloggers)

In my recent post I wrote the code to download historical data for companies included in S&P500 index. Today I would like to perform statistical procedures to identify whether certain pair of stocks is co-integrated or not. Since there are approximately 500 companies that means I will need to perform calculations of testing. First of […]

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