In practice, pairs trading contains three main steps5: Pairs selection: identify stock pairs that could potentially be cointegrated.

This R session will illustrate pairs trading or statistical arbitrage. (Useful R links: Cookbook R, Quick-R, R documentation, CRAN, METACRAN.)

Pairs trading is a market-neutral strategy that trades a mean-reverting spread. That is, it identifies two historically cointegrated financial instruments, ...

Pairs trading is a relative-value arbitrage strategy that has been known in the quantitative finance community since the mid-1980s.

17 нояб. 2024 г. · Pairs trading, a relative-value arbitrage strategy known since the mid-1980s, identifies two securities whose prices typically move together ...

Продолжительность: 26:05
Опубликовано: 31 янв. 2021 г.

8 мар. 2022 г. · Pairs trading is a quantitative trading strategy that exploits financial markets that are out of equilibrium. The strategy is widely used by ...

3 мая 2018 г. · This paper considers the mean-reverting portfolio (MRP) design problem arising from statistical arbitrage (aka pairs trading) in the financial markets.

In this paper, the optimal mean-reverting portfolio (MRP) design problem is considered, which plays an important role for the statistical arbitrage (a.k.a. ...

20 июл. 2021 г. · New user tests mean reversion pairs trading from Chan\'s book, shares results, seeks feedback and suggestions for improvement.