silencer
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| Total Posts: 13 |
| Joined: Oct 2011 |
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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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