Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

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:
(1) Use getSymbols function (quantmod package) to retrieve the data from 01/02/2020-12/31/2022, and plot the log prices. (you can use either close price or adjusted price)
(2) Use the egcm package to construct the price spread, and plot the spread.
(3) Construct a long-short trading strategy and perform backtesting. How is the performance of the pairs trading, for training and testing sample?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Multinational financial management

Authors: Alan c. Shapiro

10th edition

9781118801161, 1118572386, 1118801164, 978-1118572382

More Books

Students also viewed these Finance questions