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Pairs Trading with Charles Dotson, MFE
The Quant / Financial Engineering Podcast
How to Measure Mean Reverting in a Pair Straight
If you're looking for a more short-term relationship, I would look at the first moment of the first score. That's just getting into the weeds. The hardest part was not having any footing and then trying to figure out all of the techniques I used to come up with the algorithm. It's because it brings in machine learning,. It brings in pure math. It brings in actual statistics. "You don't have to be a master of all, but you also don't want to be aMaster of one thing," he says.
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