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October Volatility leads to Long/Short Pairing Opportunities

In this report Economatica’s Pair Trading Module screens 40,000 stock pairs to identify long/short opportunities

Volatility often leads to long-short pairing opportunities in the market, and this October has been no exception.

Economatica has a powerful yet easy to use module for identifying, analyzing, and back-testing pair trades (long/short).

We used the Economatica system to find all possible pairs of the top 200 stocks by the dollar value of the 30-day Average Daily Trading Volume.

Out of the universe of 40,000 pairs analyzed in a few moments, the Economatica system identified 24 intra-sector pairs whose current ratio sits currently between 2 and 4 standard deviations from the mean as of 10/30/2018. In addition, in making this selection we asked that only highly correlated pairs (70% or greater) with volatility under 50% were considered.

The table below shows the 24 pairs meeting the criteria along with various analytical metrics for your review. The list is ranked by the number of deviations away from the mean. Out of the 24 long-short pairs identified, 18 (or 75%) belong to the Finance and Insurance industry.

Economatica is an online investment research platform designed to facilitate deep fundamental and quantitative analysis. Asset managers, analysts, and other investment professionals have used Economatica for more than 30 years to research securities, identify opportunities, and make better investment decisions. To learn more please contact us.

Economatica is an online investment research platform designed to facilitate deep fundamental and quantitative analysis. Asset managers, analysts, and other investment professionals have used Economatica for more than 30 years to research securities, identify opportunities, and make better investment decisions. To learn more please contact us.

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