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Statistical Arbitrage Trading Pairs

What are z score values?

A Z score is the value of a supposedly normal random variable when we subtract the mean and divide by the standard deviation, thus scaling it to the standard normal distribution. Each case gets its own z-score.


Identify a pair of equities that possess a residuals time series which has been statistically identified as mean-reverting. In this case, Microsoft, Google and Facebook pairs trading.

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