Pairs Trading

[nycquant]

I am studying the different models behind Pairs Trading, realized there are is very few material out there owing to proprietary nature. Would any of you suggest me anything apart from Vidyamurthy, Binho ?

Also I wanted to know what you guys think about Quantopian website ? I attended their meetup and found it really interesting, planning to implement some of the strategies using its platform..

 

[Shadowfox]

I can suggest a few :

"A Computational Methodology for Modelling the Dynamics of Statistical Arbitrage" Andrew Neil Burgess 1999 Phd thesis
"The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies" ISMA Discussion Papers in Finance 2002
"Testing Market Efficiency using Statistical Arbitrage with Applications to Momentum and Value Strategies" S. Hogana, R. Jarrowb, M. Teoc*, M. Warachkad 2003
"Statistical Arbitrage and Securities Prices" Oleg Bondarenko University of Illinois at Chicago
"Inference And Arbitrage: The Impact Of Statistical Arbitrage On Stock Prices" Tobias Adrian MIT
"High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds" Purnendu Nath London Business School 2003
"Cointegration and Asset Allocation: A New Active Hedge fund Strategy" Carol Alexander 2001