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Keywords: Statistical arbitrage
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Journal Articles
Pairs trading with commodity futures: evidence from the Chinese market
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2017) 7 (3): 274–294.
Published: 21 August 2017
... that are considered in this paper [2] . The intuition behind statistical arbitrage is related to the spread of expected returns of large portfolios and asset classes. Typically, statistical arbitrage strategies go long in the portfolio of assets with the highest expected return and short of those with the lowest...
