Statistical arbitrage pairs trading strategies: Review and outlook

Christopher Krauss · 2017 · Journal of Economic Surveys

BeginnerIntradayLFTSurvey

Maps the pairs-trading literature into distance, cointegration, time-series, stochastic-control and other approaches, with strengths and weaknesses of each.

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Level: Beginner: No prior microstructure or stochastic calculus needed
Horizon: Intraday, LFT
Data needed: None to read it; no dataset required Set what data you have
Themes: Stat arb
Assets: Equities
Market: Global

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@article{krauss2017statistical,
  author = {Krauss, Christopher},
  title = {{Statistical arbitrage pairs trading strategies: Review and outlook}},
  journal = {Journal of Economic Surveys},
  year = {2017},
  doi = {10.1111/joes.12153}
}

Krauss, C. (2017). Statistical arbitrage pairs trading strategies: Review and outlook. Journal of Economic Surveys. https://doi.org/10.1111/joes.12153