{"id":1989861,"date":"2014-04-30T20:47:15","date_gmt":"2014-04-30T15:17:15","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=1989861"},"modified":"2014-09-09T12:05:56","modified_gmt":"2014-09-09T06:35:56","slug":"bank-nifty-icici-bank-pair","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2014\/04\/30\/bank-nifty-icici-bank-pair\/","title":{"rendered":"The Bank Nifty &#8211; ICICI Bank Pair"},"content":{"rendered":"<p>We defined the spread between a pair to be:<\/p>\n<p style=\"text-align: center\"><strong>spread = A \u2013 \u03b2B<\/strong><\/p>\n<p style=\"text-align: center\"><small>where A and B are prices and \u03b2 is the first regression coefficient.<\/small><\/p>\n<p>The \u03b2 is also known as the <em>hedge ratio<\/em>.<\/p>\n<p>Neither \u03b2, nor the relationship is &#8220;guaranteed&#8221; to be stable. Here are the p-values and \u03b2 of Bank Nifty vs. ICICI Bank nearest to expiry futures, with a 50-day look-back:<\/p>\n<p><a href=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/BANKNIFTY-ICICIBANK-p-value-and-beta-50.png\"><img loading=\"lazy\" decoding=\"async\" src=\"http:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/BANKNIFTY-ICICIBANK-p-value-and-beta-50.png\" alt=\"BANKNIFTY - ICICIBANK p-value and beta 50\" width=\"1024\" height=\"768\" class=\"alignnone size-full wp-image-1989901\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/BANKNIFTY-ICICIBANK-p-value-and-beta-50.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/BANKNIFTY-ICICIBANK-p-value-and-beta-50-300x225.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/BANKNIFTY-ICICIBANK-p-value-and-beta-50-400x300.png 400w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2014\/04\/BANKNIFTY-ICICIBANK-p-value-and-beta-50-900x675.png 900w\" sizes=\"auto, (max-width: 1024px) 100vw, 1024px\" \/><\/a><\/p>\n<p>As you can see, the spread has periods of stability and adjustment. And sometimes, the stability is the anomaly.<\/p>\n<p><em>To be continued&#8230;<\/em><\/p>\n<h6 class=\"zemanta-related-title\" style=\"font-size: 1em\">Related articles<\/h6>\n<ul class=\"zemanta-article-ul\">\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/index.php\/2014\/04\/29\/finding-pairs-trade\/\" target=\"_blank\">Finding Pairs to Trade<\/a> (stockviz.biz)<\/li>\n<li class=\"zemanta-article-ul-li\"><a href=\"http:\/\/stockviz.biz\/2014\/04\/28\/bank-nifty-vs-hdfc-bank-icici-bank\/\">Bank Nifty vs. HDFC Bank and ICICI Bank<\/a> (stockviz.biz)<\/li>\n<\/ul>\n<div class=\"zemanta-pixie\" style=\"margin-top: 10px;height: 15px\"><img decoding=\"async\" class=\"zemanta-pixie-img\" style=\"border: none;float: right\" alt=\"\" src=\"http:\/\/img.zemanta.com\/pixy.gif?x-id=0e5a3ae1-c173-4ce7-84e3-6ca1421ec496\" \/><\/div>\n","protected":false},"excerpt":{"rendered":"<p>We defined the spread between a pair to be: spread = A \u2013 \u03b2B where A and B are prices and \u03b2 is the first regression coefficient. The \u03b2 is also known as the hedge ratio. Neither \u03b2, nor the relationship is &#8220;guaranteed&#8221; to be stable. Here are the p-values and \u03b2 of Bank Nifty &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3371,2761],"class_list":["post-1989861","post","type-post","status-publish","format-standard","hentry","category-investing-insight","category-your-money","tag-pair-trading","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1989861","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=1989861"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/1989861\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=1989861"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=1989861"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=1989861"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}