Arbitrage Spread Statistical Valuation Model Strategies and their Implementation
Rapidly growing financial markets offer a variety of assets to invest. Pricing of many financial instruments is determined by conditions of absence of arbitrage opportunities, formalized with the help of mathematical models. If deviations from the fair valuation of assets, arbitrageur can retrieve the risk-free profit. The article deals with the theme of updating the statistical approach to the analysis of the spread in a pair trading and building up a trading strategy based on this analysis.