Statistical Arbitrage Research Based on Pairs Trading Strategies

This paper had put forward a new strategy: "opening positions when Spread deviates from their opening line of portfolios, closing positions when crossing the meaning line at the first time". The strategy can achieve better arbitrage gains in the empirical test. In addition, this paper used GARCH (1.1) model to predict the time-varying standard deviation as the opening line. This improvement obtains higher returns.