AI & Algo Trading

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On the Persistence of Cointegration in Pairs Trading

blog.edarchimbaud.com

On the Persistence of Cointegration in Pairs Trading

edarchimbaud
Sep 6, 2023
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Share this post

On the Persistence of Cointegration in Pairs Trading

blog.edarchimbaud.com
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Original paper

SSRN-id2491201.pdf

Trading rules

  • Stock selection from NYSE, AMEX, and NASDAQ, excluding illiquid stocks

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