High-Frequency ETF Pairs Trading
“Using this information, we test the optimal trading rules using intraday price observations over a variety of trading periods ranging from 5 days to 42 days.”
StrategyPairs tradingshort-term reversal
FrequencyIntraday
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
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