Explore how the profit rate changes

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Reference no: EM131087530

Our pairs trading approach uses the mean and standard deviation from the training data for the thres holds for the future/test data. We could, however, update the thresholds after we receive the new stock prices, e.g., each day. We can use the same mechanism to determine the optimal value of k with the updated training set, created by adding the new observation to the previous training set. This then changes when we open or close a position in the future. Implement this approach and explore how the profit rate changes.

Reference no: EM131087530

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