Statistical Arbitrage in Pairs Based Trading

Mar 10, 2021 · Quant Investing · 1 min read

I was discussing principal component analysis and eigenvalues with a friend today. If you're not familiar with stat arb in the pairs-based trading world this paper is a good read.

I was discussing principal component analysis and eigenvalues with a friend today. If you’re not familiar with stat arb in the pairs-based trading world this paper is a good read.