S&P 500 Pair Trading
Introduced by Han et al. in Select and Trade: Towards Unified Pair Trading with Hierarchical Reinforcement Learning
A pool of real stocks from S&P 500 for recent 21 years from 01/02/2000 to 12/31/2020. We filter stocks that have missing data throughout the whole period, resulting in 150 stocks with 5,284 trading days.
Benchmarks
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S&P 500 Pair Trading
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Trials
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Papers
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