Indicators: Institutional StatArb and Cointegration Spread Z-Score

 

Institutional StatArb and Cointegration Spread Z-Score:

A quantitative multi-asset oscillator designed for Statistical Arbitrage (Pairs Trading), it calculates the logarithmic spread between two correlated assets and measures its Z-Score to identify risk-neutral mean-reverting opportunities.

Institutional StatArb and Cointegration Spread Z-Score

Author: Amanda Vitoria De Paula Pereira