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We are pioneering the radical future for open-source quant finance. QuantConnect is the world's largest quant community, empowering 220,000 quants with a framework, data, and infrastructure for their investments.


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Dennis left a comment in the discussion Pairs Trading - Copula Method vs Cointegration

Two Questions:

6 years ago

Dennis left a comment in the discussion Pairs Trading - Copula Method vs Cointegration

If for a Gumbel copula we get a combination of (u,v) of (1,1) -> the pdf of your algorithm...

6 years ago

Dennis left a comment in the discussion Pairs Trading - Copula Method vs Cointegration

Two Questions:

6 years ago

Dennis left a comment in the discussion Pairs Trading - Copula Method vs Cointegration

If for a Gumbel copula we get a combination of (u,v) of (1,1) -> the pdf of your algorithm...

6 years ago