Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy
A 2025 paper by Holý and Tomanová on pairs trading and statistical arbitrage in equities, using classical time-series methods: the abstract mentions profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“In an empirical study of 7 Big Oil companies, we show that the use of the proposed estimator of the Ornstein-Uhlenbeck process leads to an increase in profitability of the pairs trading strategy.”
AssetEquities
StrategyPairs tradingportfolio optimization
TechniqueClassical time series
FrequencyIntraday
Also stated: Profit, Order book
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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