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Intra-Day Equity Trading Ideas

Looking for some ideas to test in the Intra-day US equity space. Data frequency is in the 1-5 min range. Was thinking of trying a Pairing/Cointegrated method...however open to test other ideas. Any suggestions?

Thanks!

1 response

Adam,

You might have a look at Rare Events Analysis of High-Frequency Equity Data. When I read through it, it seemed feasible to code in Quantopian. Perhaps it could be used in conjunction with set_universe?

Grant