[R] Problem

From: Ramesh Kolluru <stat_ramesh_at_rediffmail.com>
Date: Fri 05 Aug 2005 - 16:44:13 EST


  
Hi,

   I am a Equity Research Analyst & i have a task to do. "Ranking of Pair Trades" i.e.i have so many parameters like share price, Technical indicators(like Stochastic Indicator, Relative Strength Index, Directional Movement Indicator, Moving Acerage Convergence Divergence) and so on. Now i am looking for the trading opportunities in pair on the basis of all the above parameters. I want to give ranks to all the pairs to get in which pair i have more opportunity to play and earn...  I have already started with using Principal Component Analysis(PCA) basically to reduce the dimension of the parameters on the basis of which i have to give the rank to the pairs. And after that i will go for the skewness in all the pair with respect to the reduced parameters.Where the skewness is more that will be rank 1 pair & so on.Because where the skewness is more there we will have more opportunities to play.  But i am not confident with this appraoch. So, can you please help me with some other good method to solve this problem....

Thanks in Advance

Regards,
Ramesh

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