Developing Statistical Arbitrage Strategies Using Cointegration

In his latest book (Algorithmic Trading: Winning Strategies and their Rationale, Wiley, 2013) Ernie Chan does an excellent job of setting out the procedures for developing statistical arbitrage strategies using cointegration. ┬áIn such mean-reverting strategies, long positions are taken in under-performing stocks and short positions in stocks that have recently outperformed. I will leave a … Continue reading Developing Statistical Arbitrage Strategies Using Cointegration