Author Topic: Regression model with negative BETA  (Read 1684 times)

vladimir vaynshtok

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Regression model with negative BETA
« 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
 

vladimir vaynshtok

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Re: ReSidual model with negative BETA
« Reply #1 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

admin

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Re: Regression model with negative BETA
« Reply #2 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