Implementation of Pairs Trading Strategies

Oyvind Foshaug
2010 Social Science Research Network  
In this paper we outline two previously suggested methods for quantitative motivated trading in pairs. We focus on the method of cointegration and a unobserved mean reversion model called the stochastic spread model. The methods are used to implement a search procedure that aims to reveal profitable pairs among all possible pairs available on the German, French and Dutch stock exchanges. The intended user of this application is the trading desk at Amsterdams Effektenkantoor for which this investigation has been done.
doi:10.2139/ssrn.1594066 fatcat:k3ls2hpw4jbabhlca3lfwkw3u4