buy or sell signal is generated after the input parameters for buy and sell threshold is fulfilled, but is there any statistical approach to determine which of the assests in the pair will move more. any suggesgtions please?
Course Name: Statistical Arbitrage Trading, Section No: 3, Unit No: 7, Unit type: Video
Hello Daniel,
Yes, there are statistical approaches that can help determine which asset in a pair is likely to move more. One approach could be to calculate the historical volatility of each asset in the pair and then compare them. The asset with higher historical volatility is likely to move more in the future.
I hope this helps!