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Engle-Granger Statistical Arbitrage by gaargrg is a document available to read on EtoBox.

What is Engle-Granger Statistical Arbitrage about?

The document outlines a process for analyzing Bitcoin trading data using the Engle-Granger method, focusing on low-frequency and high-frequency data. It includes steps for reading and processing market data, calculating price differences, and constructing trading models. The document also suggests visualizing mid prices and exploring optimization opportunities for the Engle-Granger analysis with L2 data.

Author

gaargrg

Language

EN