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Pair Trading => Models, Algorithms & Approaches => Topic started by: vladimir vaynshtok on September 19, 2016, 04:02:38 pm

Title: Regression model with negative BETA
Post by: vladimir vaynshtok on September 19, 2016, 04:02:38 pm

Let us say we have a regression model with negative BETA.
I guess in this case long bucket should have 2 longs and short bucket should have 2 shorts ?
Otherwise I guess it is not possible to construct a mean reversal bucket ...

Please confirm or argue on this!

Thank you very much,

Vladimir
 

Title: Re: ReSidual model with negative BETA
Post by: vladimir vaynshtok on September 19, 2016, 04:07:14 pm

Sorry I meant a Residual model -  that is  based on regression.
But the question remains the same. Thanks

Title: Re: Regression model with negative BETA
Post by: admin on September 19, 2016, 04:09:06 pm

You are right Vladimir. Please check this documentation for more info:
https://wiki.pairtradinglab.com/wiki/Trading_Pairs_Based_on_Inverse_ETFs