PairTrading (1.1)

classical pair trading based on cointegration in finance.

This package gives classical trading strategy called "Pair trading" to you. you can easily specify pairs for trading and do back-test by this package. It's based on cointegration. Cointegration is a statistical feature of time series proposed by Engle and Granger.

Maintainer: Shinichi Takayanagi
Author(s): Shinichi Takayanagi, Kohta Ishikawa

License: BSD

Uses: tseries, xts

Released over 7 years ago.