NO.PZ201809170400000707
问题如下：
Based
on Exhibit 1, which stock pair should Knight recommend as the best candidate
for statistical arbitrage?
选项：
A.Stock
1 and Stock 2
Stock
3 and Stock 4
Stock
5 and Stock 6
解释：
B is correct. Knight should recommend the
Stock 3 and Stock 4 pair trade. Two stocks make for an ideal pairs trade if (1)
the current price ratio differs from its long-term average and shows historical
mean reversion and (2) the two stocks’ returns are highly correlated. The
relationship between Stock 3 and Stock 4 meets these conditions.
如此陌生令人着急
