This is a summary of links featured on Quantocracy on Tuesday, 03/30/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Minimum Profit Optimization: Mean-reversion Trading [Hudson and Thames]In my previous articles, I introduced how to construct long-short asset pairs according to the concept of cointegration and how to build a sparse mean-reverting multi-asset portfolio. Now that we are able to answer the question what to trade with confidence, it is time to get down to the nitty-gritty of the implementation of a mean-reversion strategy. The crux of implementing a