hard · Quantitative Finance microstructure-arb
A pairs-trading strategy monitors a spread with an annual mean-reversion speed κ = 15 and an annual volatility σ = 0.25.
What is the long-run (unconditional) standard deviation of this spread, which is often used to set entry Z-scores?
- 0.0167
- 0.0021
- 0.0456
- 0.0645
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