2017•Communications in computer and information scienceRequires access

Statistical Arbitrage Trading Strategy in Commodity Futures Market with the Use of Nanoseconds Historical Data

Mantas Vaitonis, Saulius Masteika

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Key concepts: Statistical arbitrage, Futures contract, Trading strategy, Arbitrage, High-frequency trading, Pairs trade, Algorithmic trading, Profit (economics)

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Statistical Arbitrage Trading Strategy in Commodity Futures Market with the Use of Nanoseconds Historical Data — Research Paper | ScholarLens