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The document presents a study on high-frequency statistical arbitrage in the Chinese commodity futures market, analyzing 47 contracts using a framework based on cointegration tests, dynamic hedge ratios via Kalman filtering, and mean-reversion filtering. The strategy demonstrated significant cumulative returns of 81% in-sample and 21% out-of-sample, outperforming a passive index, but highlights potential risks related to execution and market microstructure. The authors suggest that while the strategy shows

Author

Harshith N

Language

EN