This is a summary of links featured on Quantocracy on Friday, 08/30/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is Pairs Trading Still Viable? [Quant Rocket]Classic pairs trading strategies have suffered deteriorating returns over time. Can a research pipeline that facilitates the identification and selection of ETF pairs make pairs trading viable again? This post investigates such a pipeline. The problem: pairs wander away Source: Ernie Chan, Algorithmic Trading: Winning Strategies and Their Rationale, Wiley, May 28, 2013, chapter 4. Pairs trading is