Video: betanomics – fixed vs flexible

Posted by on Sep 26, 2012 in ArbMaker News! | 2 Comments

When we introduced our time-adaptive beta tools in this post last month we said we would revisit the topic to demo how a time-adaptive beta can be used to ‘tune’ the spread of a pair. That time has come!

There are different reasons one may wish to tune a spread. The extent of the impact is a direct function of how sensitive the spread is made to the changes in the underlying beta of the pairs. In general terms this is usually a compromise between profit per trade and trading volume; and we plan to introduced optimization algorithms to target these goals in the next quarter.

In the meantime, one of the company partners demos in the video below how to use our existing beta tools and sets out the impact they may have. It’s helpful to also consult “Appendix L: Fixed and Time Adaptive betas” in our documentation here or via the “Help” button inside the software.

2 Comments

  1. ArbMaker » Video redux: forex, cointegration, leverage and time-varying betas
    September 27, 2012

    […] betas Posted by Admin on Sep 27, 2012 in ArbMaker News! | No Comments A follow-on vid from the last on the same topic of beta methods –  but with a different spin especially for FX […]

    Reply
  2. ArbMaker » Video redux: forex, cointegration, leverage and time-varying betas
    June 5, 2016

    […] follow-on vid from the last on the same topic of beta methods –  but with a different spin especially for FX […]

    Reply

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