Classical Pairs Trading Using MatLab

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“The pairs trade was developed in the late 1980s by quantitative analysts and pioneered by Gerald Bamberger while at Morgan Stanley. With the help of others at Morgan Stanley at the time, including Nunzio Tartaglia, Bamberger found that certain securities, often competitors in the same sector, were correlated in their day-to-day price movements. When the correlation broke down, i.e. one stock traded up while the other traded down, they would sell the outperforming stock and buy the underperforming one, betting that the "spread" between the two would eventually converge.”

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关键词：Classical classic Trading MATLAB rading MATLAB Using Trading Classical Pairs

let's have a look thx and hope the pairs converge :)

何必附5个论坛币呢， 这里就可以下载免费的
http://www.mathworks.com/matlabc ... rading-using-matlab

Thanks 3楼
Almost get fooled to spend 5个论坛币

thanks for sharing

Mathwork上的链接貌似已失效 发个新的：http://www.sourcecodeonline.com/ ... g_using_matlab.html

非常感谢!

thanks for sharing!!