Statistical arbitrage/pairs trading system. Pairs trading is a form of mean reversion that has a distinct advantage of always being hedged against market movements. It is generally a high alpha strategy when backed up by some rigorous statistics. This notebook runs through the following concepts What is cointegration? How to test for cointegration.

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Introduction Video - Statistical arbitrage/pairs trading system

MATLAB Pairs Trading / Statistical Arbitrage Example







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  • Statistical Arbitrage: High Frequency. Pairs Trading. Ruben Joakim Gundersen. Supervisor: Associate Professor Michael Kisser. NORWEGIAN SCHOOL OF ECONOMICS. Master Thesis, MSc. 21 The Global Industry Classification Standard is a classification system developed by the American company. MSCI. The GICS.

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