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silencer


Total Posts: 13
Joined: Oct 2011
 
Posted: 2012-01-06 03:40
I was going through a paper on stat arb AVELLANEDA (2008)

Interesting that Avellaneda uses asset returns vs its etfs to compute the s-score. Wondering if anyone has tried this approach to pairs trading ? How does it compare to the johansen's method?

I can't imagine this approach being stable if trying to trade it intraday, due to all these return computations. I haven't tried either methods so would appreciate some feedback on your experience.
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