Statistical arbitrage with applications to spread (“pairs”) trading

Posted: March 14, 2010 in Uncategorized

The reading list for this weekend included some nice papers on pairs style trading that I ran into earlier in the week.  It interested me because for the first time I saw a construction based upon the desired trading portfolio outcome ratio than the inputs.  Regardless of what my rational is, they are both well written papers on mean-reverting spread trade construction and I think you will enjoy them!0808.1710v3PairsTradingQFin05

The first attachment has a very interesting state space framework that we will go into at a later date.

  1. Rajkumar says:

    I appreciate the ideas and this is very nice article and have great information.but QuantInsti strives to provide best pairs trading and statistical arbitrageto its participants by introducing them with innovative and effective ways of sharing knowledge.

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