Statistical Arbitrage | Saeed Mohseni-Sehdehhttps://saeedmohseni.netlify.app/tags/statistical-arbitrage/Statistical ArbitrageHugo Blox Builder (https://hugoblox.com)en-usTue, 01 Jul 2025 00:00:00 +0000https://saeedmohseni.netlify.app/media/icon_hu7729264130191091259.pngStatistical Arbitragehttps://saeedmohseni.netlify.app/tags/statistical-arbitrage/Statistical Arbitrage via Cointegration-Based Pairs Tradinghttps://saeedmohseni.netlify.app/project/statistical-arbitrage-via-cointegration-based-pairs-trading/Tue, 01 Jul 2025 00:00:00 +0000https://saeedmohseni.netlify.app/project/statistical-arbitrage-via-cointegration-based-pairs-trading/<p>A rigorous pairs-trading pipeline that asks whether cointegration-based statistical arbitrage survives out-of-sample testing once costs and selection bias are accounted for. Pairs are screened with Engle-Granger cointegration tests under Benjamini-Hochberg false-discovery-rate correction, traded on spread z-score mean-reversion signals using both static and Kalman-filter dynamic hedge ratios, and evaluated with walk-forward backtesting, bootstrap confidence intervals, Probabilistic and Deflated Sharpe Ratios.</p>