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Beta Coefficient in Pairs Trading | Potential Application in Position Sizing and Speculation
Автор: Crypto Wizards
Загружено: 2023-12-06
Просмотров: 1838
Описание:
A wizard asked in the last video talking on the Kalman Filter, to cover more on position sizing and coefficients. Well, this felt like a great idea so in this video we are talking about the Beta Coefficient and how it is a great measure of how one assets direction, volatility and risk as compared with the market or a base asset can be put to some use in statistical arbitrage.
We also cover the difference between this and the volatility ratio.
Be careful in how you approach position sizing and take backtesting with a pinch of salt.
website: https://cryptowizards.net
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