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Quantitative time series and signals· 4 of 4
  1. 01Returns and stationarity
  2. 02Streaming statistics
  3. 03Mean reversion and Ornstein-Uhlenbeck processes
  4. 04Cointegration and spread signals

Quantitative time series and signals

Cointegration and spread signals

Distinguish cointegration from correlation, calculate hedge ratios via OLS regression, and construct normalized z-score spread signals.

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This one opens once you have finished Market microstructure and order books.

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