| Since March31th, Chinese investors are allowed to short stocks. It is possible to use statistical arbitrage, which is a quantitative strategy commonly used at Wall Street since than.This essay uses the strategy of pair trading, with three classic models to accomplish the research. Two of them are called GARCH and O-U model.500stocks are included in this research to test these three models.The essay uses the newly updated data and the models are modified, too. Among them. GARCH model draws the most attention. |
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