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Consider a pair of stocks: Visa and MasterCard and do following three questions: ( 1 ) Use getSymbols function ( quantmod package ) to retrieve
Consider a pair of stocks: Visa and MasterCard and do following three questions:
Use getSymbols function quantmod package to retrieve the data from and plot the log prices. you can use either close price or adjusted price
Use the egcm package to construct the price spread, and plot the spread.
Construct a longshort trading strategy and perform backtesting. How is the performance of the pairs trading, for training and testing sample?
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