R language building of paired transaction quantization model

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Objective

Retail investors are experiencing the jump up of the Chinese stock market every day, earning money as luck and losing the norm. So is there a way to make money become the norm?

We can find out the ineffectiveness of the market by means of "statistical arbitrage". A pair of trading, on the statistical arbitrage strategy, by hedging out most of the market risk, seize the arbitrage opportunities, accumulate small profits converge large profits.

Directory

1. What is a paired transaction?

2. Model of paired trades

3. Pairing trading with R language

Overall article: http://blog.fens.me/finance-pairs-trading/

R language building of paired transaction quantization model