EstimateParameters: Estimate parameters at any point.
In PairTrading: classical pair trading based on cointegration in finance

Description Usage Arguments Details Value Author(s) Examples

View source: R/Cointegration.R

Estimate parameters(spread, premium, cointegration coefficient) at any point by regression(default linear regression).

1	EstimateParameters(price.pair, method = lm)

`price.pair`	pair stock price (xts object)
`method`	estimation method.(see also)

"method" is any regression method which returns a result with "$coef" attribute. "$coef[1]" should be regression intercept(means premium) and "$coef[2]" should be regression coefficient(headge.ratio).

return a list consisting of elements below.

`spread`	xts object. "residual" in regression
`hedge.ratio`	scalar value. "coefficient" in regression
`premium`	scalar value. "intercept" in regression

Shinichi Takayanagi, Kohta Ishikawa

#load library
library(PairTrading)

#load sample stock price data
data(stock.price)

#select 2 stocks
price.pair <- stock.price[,1:2]["2008-12-31::"]

#Estimate parameters & plot spread
reg <- EstimateParameters(price.pair, method = lm)
str(reg)

plot(reg$spread)