Cointegrated pairs of securities are crucial for mean reversion trading portfolio construction, Play with cointegration has several good papers to start with. Should you want to test pairs of securities for cointegration using R, here is an excellent webpage with data, code and detailed example, cheers.

http://quanttrader.info/public/testForCoint.html

I have been on vacation for exactly two weeks, reading Chinese fictions, visiting parents and friends, enjoying delicious food, etc. Life is wonderful except I have a little worry about my British visa.

Quantitative Trading: How to Build Your Own Algorithmic Trading Business is a great book I bought several months ago but had few chances to read until recently. It is an easy-to-understand book on implementing quantitative (or algorithmic) trading for independent traders. This is the area fascinating me from right the beginning of learning quantitative finance. Therefore I have started to play algorithem trading with Matlab, the three sites I have visited often within the last week are:
Recorded Webinar: Algorithmic Trading with MATLAB for Financial Applications: http://www.mathworks.com/company/events/webinars/wbnr30376.html?id=30376&p1=50647&p2=50649
Trading with Matlab: http://www.tradingwithmatlab.com/home
Interactive Brokers via Matlab: http://www.maxdama.com/2008/12/interactive-brokers-via-matlab.html

There you could find and download useful resources and API code on Matlab trading, for instance, Pairs Trading, Intraday Data Acquisition. Enjoy.

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Today is my last day in the office, I have made up my mind to continue to study a PhD, it is a hard decision without getting much support from my family, anyway, every coin has two sides, be positive, positive.

China -> Germany -> China -> Switzerland -> London -> Nottingham

I will have to go back to China for my student visa and stay there for nearly two months, visiting my family and friends, travelling around, etc., and come back to UK by the end of August, hopefully. In the meantime I have to reduce blog publishing frequency, but if you do have any interesting staff, please leave me at http://www.mathfinance.cn/contact-me, thanks.

Have a nice summer.