Experimental Comparison of HFT Pair Trading Strategies using Microsecond and Nanosecond Future Commodity Contracts Data

Mantas Vaitonis, Saulius Masteika. Experimental Comparison of HFT Pair Trading Strategies using Microsecond and Nanosecond Future Commodity Contracts Data. Balt. J. Mod. Comput., 6(2), 2018. [doi]

Abstract

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