Final_1.pdf

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CHAPTER


5


Overview


History


The first practice of statistical pairs trading is attributed to Wall Street
quant Nunzio Tartaglia, who was at Morgan Stanley in the mid 1980s. At
the time, he assembled a group of mathematicians, physicists, and computer
scientists. Their mission was to develop quantitative arbitrage strategies
using state-of-the-art statistical techniques. The strategies developed by the
group were automated to the point where they could generate trades in a

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