it doesn't seem obvious at all why anyone would want to use strategy 2. The very fact it's behaving like a martingale defeats the point of mean reversion that one would want in the spread. Also, what's the point of the flexibility if the the very point of designing the strategy was to execute on a pairs trading strategy that mean - reverts. Seems like a waste of time for both strategy 1 and 2. Still a very informative piece! I appreciate the lesson!
It is a good idea to use example with R or python. Copula is complex model and example will make it easy.
it doesn't seem obvious at all why anyone would want to use strategy 2. The very fact it's behaving like a martingale defeats the point of mean reversion that one would want in the spread. Also, what's the point of the flexibility if the the very point of designing the strategy was to execute on a pairs trading strategy that mean - reverts. Seems like a waste of time for both strategy 1 and 2. Still a very informative piece! I appreciate the lesson!
Martingale is mean reverting.
Hi, interesting video! It gives a great introduction to copulas. Is the copula module for python available somewhere?
Thanks! Yes the copula module is part of the ArbitrageLab python library.
hudsonthames.org/arbitragelab/
@@jacquesjoubert2797 Thank you a lot! It requires payment I guess? "pip install arbitragelab" function does show an availablr library.
Yes, there are many copula packages in python.