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Spread data question for "Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization" #82

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HsergeyF opened this issue Jul 29, 2024 · 0 comments
Open

Spread data question for "Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization" #82

HsergeyF opened this issue Jul 29, 2024 · 0 comments

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@HsergeyF
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I have some questions about this research, don't you mind to help me to figure out how you find pairs for arbitrage in this article. In the article "Finding Moving-Band Statistical Arbitrages via Convex-Concave Optimization" I found, that you tested pairs for cointegration, but you test a multivariate portfolios, which consist of many stocks at 1 basket. It seems impossible to bruteforce a whole US Stocks universe. Could you please provide more information on spread portfolios construction?
Thank you!
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