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XiangZhangSC / quant-with-r

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Why one sells one stock and buys the other stock in pair trading? #15

Open XiangZhangSC opened 1 year ago

XiangZhangSC commented 1 year ago

In my own understanding the spread beta cannot be positive number leading to selling and buying two stocks at the same time. This is against what is generally known for pair trading.

XiangZhangSC commented 1 year ago

The problem lies in what is spread. In my own understanding that is considered as an artificial stock. This is not the case.