Originally Posted by Lapsa
Originally Posted by Grant

As for pairs trading, I recently saw this interesting keynote on pairs trading, using a Kalman filter as a spread basis. My current project takes too much time, but it was an insightful one.


tried watching. got bored. learned nothing

will check out wtf is Kalman filter though


That Kalman part was the only part I was interested in.
Maybe you've already found it, but there's also a Zorro / R implementation on https://robotwealth.com/kalman-filter-pairs-trading-with-zorro-and-r/