- Fehler:

As you can see from the chart in Fig. AGG and IEF Daily Prices We now estimate the beta-relationship between the ETF pair with the Kalman Filter, using the Matlab code given below, and plot the estimated vs actual prices of the first ETF, AGG in Fig 2.

There are one or two outliers that you might want to take a look at, but mostly the fit looks very good. Now lets take a look at Kalman Filter estimates of beta.

As you can see in Fig 3, it wanders around a lot! Very difficult to handle using some kind of static beta estimate.

Finally, we compute the raw and standardized alphas, being the differences between the observed and fitted pricesi. The last step is to decide how to trade this relationship.

You might, for example, trade the portfolio in proportion to the standardized deviation i. I have found this to be more reliable than other methods.

Just type and press eve online market trading spreadsheet. ETF Pairs Trading with the Kalman Filter February 23, Jonathan CointegrationMatlabStatistical Arbitrage.

AGG and IEF Daily Prices We now estimate the beta-relationship between the ETF pair with the Kalman Filter, using the Matlab code given below, and plot the estimated vs actual prices of the first ETF, AGG in Fig 2. Fig 2 — Actual vs Fitted Prices of AGG Now lets take binary option jobs arbitrage look at Kalman Filter estimates of beta.

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