The point is that there may exist a subset of n stocks the ETF (for a total of N stocks) component which can explain let's say 90% of the ETF...
For the selection of stocks to trade against the etf, would it be useful to diagonalize the covariance matrix, to get most important eigenvectors?...
Factors analysis has nothing to do to technical analysis. Factors can be considered "factor" which are unpredictable and have influence on a...
I read this paper,and is basically an extension of LO strategy,which is cited, and is quite easier to understand. If you know how to automate...
Hello, and thank you very much for your post on your experience on stat arb for small investors. I have done some research and I found that...
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