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What is Optimizing Pairs Trading of US Equities in A High Frequency Setting about?

This paper investigates the optimization of high-frequency pairs trading strategies, focusing on factors like allocation within the pair, opening and closing thresholds, and transaction costs, using Exxon Mobil and Chevron as a case study. Key findings include the superiority of dynamic models for estimating spreads, the benefits of allocating based on CAPM β ratios, and the optimal thresholds for opening and closing positions. Additionally, the study reveals that daily trading restrictions and transaction

Author

luca pilotti

Language

EN