algorithm

Kalman filter and pair trading

Published at May 1, 2020 ·  4 min read

Pair trading is a type of cointegration approach to statistical arbitrage trading strategy in which usually a pair of stocks are tcraded in a market-neutral strategy, i.e. it doesn’t matter whether the market is trending upwards or downwards, the two open positions for each stock hedge against each other. The key challenges in pairs trading are to: Choose a pair which will give you good statistical arbitrage opportunities over time Choose the entry/exit points One of the challenges with the pair trading is that cointegration relationships are seldom static....

Color transformation from Bayer to RGB

Published at February 17, 2020 ·  4 min read

A Bayer filter mosaic is a color filter array (CFA) for arranging RGB color filters on a square grid of photosensors. Its particular arrangement of color filters is used in most single-chip digital image sensors used in digital cameras, camcorders, and scanners to create a color image. The filter pattern is 50% green, 25% red and 25% blue - see here. Color conversion algorithm The conversion algorithm is based on simple linear interpolation of pixels to find the missing value....