Pairs Trading: The Distance Approach
Автор: Hudson & Thames
Загружено: 2021-01-29
Просмотров: 22712
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In this video Illya Barziy, Quant Research Team Lead at Hudson and Thames, covers the upsides of the distance approach and its possible improvements.
From at least four distinct branches of research in the pairs trading literature, the distance approach is the most cited.
The popularity of the approach is mainly attributed to its simplicity. The downside, however, is that the dependencies found by this approach may be spurious.
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Learn more with the Definitive Guide to Pairs Trading: https://hudsonthames.org/definitive-g...
Presentation slides: https://docs.google.com/presentation/...
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