Pairs Trading in Practice

Discussion in 'Trading' started by BigDog, Feb 17, 2019.

  1. Trader13

    Trader13

    If you're estimating beta (using Regression, Kalman, or techique of choice) to weight one leg of the pair, how can it be dollar neutral? You would have a smaller dollar position in the higher volatility leg and be volatility neutral, not dollar neutral.
     
    #31     Feb 19, 2019
    Craig66 likes this.
  2. BigDog

    BigDog

    I was referring to the overall portfolio, not the individual positions.
     
    #32     Feb 19, 2019