Can someone suggest a resource with a clean cut explanation of pair trading?

  • $\begingroup$ en.wikipedia.org/wiki/Pairs_trade would be a good start? $\endgroup$ – barrycarter Nov 8 '14 at 16:12
  • $\begingroup$ The book "Pairs trading" by Vidyamurthy is a standard reference $\endgroup$ – Ilya Nov 9 '14 at 13:28
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    $\begingroup$ Questions of the form "what is the best" are off-topic because they are opinion-based, so I rephrased it. Besides, you question would have been much better if you'd shown what books you'd considered so far and what you thought were missing, for example. $\endgroup$ – SRKX Jan 12 '15 at 0:59

Becky, in order to get a good 'all around' grip of the concepts that you might encounter in statistical arbitrage, a good book would be the:

Statistics and Data Analysis for Financial Engineering (Springer Texts in Statistics)

, especially Chapter 9 onward. There you will find all the tools you need for your pairs-trading stat arb, like co-integration, necessary econometric tests etc.

Unfortunately there is not a black box that you will plug it in and make money out of it, while the basic idea remains the same, a number of things change for different asset classes and trading frequencies.


Becky, I have traded stat arb for years, this is the best book I have read on pairs trading- Andrew Pole - Stat Arb

  • $\begingroup$ Wow, the comments on the Amazon page don't suggest it's that good... $\endgroup$ – SRKX Mar 13 '15 at 2:16

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