Kyle Matoba is a Finance PhD student at the UCLA Anderson School of Management. He gave a presentation on Algorithmic Trading with R and IBrokers at a recent meeting of the Los Angeles R User Group. The discussion of IBrokers begins near th...

There is a central notion in Time Series Econometrics, cointegration. Loosely it refers to finding the long run equilibrium of two non-stationary series. As the most know non-stationary series examples comes from finance, cointegration is nowadays a tool for traders (not a common one though!). They use it as the theory behind pairs trading (aka

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