The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity data and compare its profit potential to the standard sampling frequency of daily closing prices. We use a simple trading strategy to evaluate the profit potential of the data...

The motivation for this paper is to show that even a simple strategy based on conditional autocorrelation can give traders an edge. Our simple mean reversion strategy takes the position in a pair consisting of Exchange traded funds (ETFs) or shares based on the normalized previous period's...