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Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange? I couldn't find any. I asked this question on several forums and got no reply. Thus I guess this

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The latter simply pairs statistical related possibly cointegrated arbitrage so that exactly one forex is long and the other is short. Trading word "pair" is just a bit overloaded in the context of forex, so I used term "statistical arbitrage" to clear trading a bit.

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Statistical arbitrage trading techniques (sometimes knows as convergence or pairs trading) are based on the concept of mean reversion. The system continuously monitors the performance of two historically highly correlated instruments which the trader defines.

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Cointegration | QuantSt on Statistical Arbitrage – Trading a cointegrated pair Parker Bohn on Analysis of returns after n consecutive up/down days – Predicting the Sign of Open to Close Returns Categories

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Statistical arbitrage is a profit situation arising from pricing inefficiencies between securities. Investors typically identify arbitrage situations through mathematical modeling techniques

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Simplyput , statistical arbitrage is a fancy term for pair trading, which is the buying or selling of a pair ofstocks based on their relationship with each other.

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2016/05/28 · I finished my statistical arbitrages. Result of tests are in the attachements.

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2014/11/16 · Very nice. Just an idea: You could perhaps do slightly better to avoid trading cointegrated pairs with a common currency. Buying audjpy and selling nzdjpy could be more elegantly executed with buying audnzd, in this way you don't have to pay the spread twice.

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Statistical arbitrage is a profit situation arising from pricing inefficiencies between securities. Statistical arbitrage strategies are market neutral because they involve opening both a long position and short position simultaneously to take advantage of inefficient pricing in correlated securities.

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Statistical Arbitrage lecture Quantinsti, Nitesh Khandelwal. Pairs Trading, Ganapathy Vidyamurthy, Wiley Finance. Successful Algorithmic trading, Michael Halls-Moore.

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