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Study on Cross-sector Stock Pair Trading Strategies based on Cointegration

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Author: Jiamiao Chen

Abstract: Study on Cross-sector Stock Pair Trading Strategies based on Cointegration In the context of the continuous development of the two financing businesses, this paper conducts a correlation analysis of the historical stock prices of 11 different industries between January 4, 2011 and December 31, 2020, selects two of the industries with the highest correlation and five representative stocks from each of them, tests the cointegration relationship between the two stocks with the highest correlation, and uses Python tools to conduct an empirical study of the matching trading. The results show that this strategy can help us to obtain significant positive returns within a short period of time, and is feasible and effective for implementation.

Keywords: Pair Trading, Cointegration Relationship, Python

References:

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