SSRNTrading, Microstructure & Execution
Statistical Arbitrage with Mixed Frequency Data
The article discusses the use of high-frequency data to identify similar assets for statistical arbitrage strategies, testing various algorithms and trading rules on different asset classes.
Featured in No. 69 on 9 Oct 2024 · 9 days after release
- Released
- 30 Sep 2024
- First featured
- No. 69 · 9 Oct 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 1,135
- Identifier
- SSRN 4975855
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).