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Cointegration and Pairs Trading with Econometrics Toolbox

William Mueller, MathWorks
Stuart Kozola, MathWorks

Learn how Econometrics Toolbox can be used to create better time-series models and forecasts. In this webinar, we will introduce new capabilities with the R2011a release of Econometrics Toolbox that include cointegration tests and vector-error-correcting (VEC).

Short examples will be used to illustrate the new features followed with an applied case study in pairs trading.

About the Presenters:
Stuart Kozola is a product manager at MathWorks and focuses on MATLAB® and add-on products for computational finance.
William Mueller is a developer at MathWorks and focuses on computational finance products, including Econometrics Toolbox™.

View example code from this webinar here:
https://www.mathworks.com/matlabcentral/fileexchange/31060-cointegration-and-pairs-trading-with-econometrics-toolbox

Recorded: 17 Jan 2013

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