Abstract
Many statistical arbitrage strategies, such as pair trading or basket trading, are based on several assets. Optimal execution routines should also take into account correlation between stocks when proceeding clients orders. However, not so much effort has been devoted to correlation modelling and only few empirical results are known about high frequency correlation. Depending on the time scale under consideration, a plausible candidate for modelling correlation should:
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Huth, N., Abergel, F. (2011). High Frequency Correlation Modelling. In: Abergel, F., Chakrabarti, B.K., Chakraborti, A., Mitra, M. (eds) Econophysics of Order-driven Markets. New Economic Windows. Springer, Milano. https://doi.org/10.1007/978-88-470-1766-5_13
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DOI: https://doi.org/10.1007/978-88-470-1766-5_13
Publisher Name: Springer, Milano
Print ISBN: 978-88-470-1765-8
Online ISBN: 978-88-470-1766-5
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