Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities

摘要: The motivation for this paper is to apply a statistical arbitrage technique of pairs trading high-frequency equity data and compare its profit potential the standard sampling frequency daily closing prices. We use simple strategy evaluate series information ratios yielded by each different frequencies. frequencies observed range from 5-minute interval, prices recorded at close day. analysis reveals that extent which are cointegrated provides good indicator profitability pair in highfrequency domain. For series, in-sample ratio future as well. Conclusive observations show fact present when applying novel diversified data. In particular, even once very conservative transaction costs taken into account, portfolio suggested achieves attractive (e.g. above 3 an average sampled interval 1 frequency).