# Trading strategies for stock pairs regarding to the cross-impact cost

**Authors:** Shanshan Wang  
**arXiv:** [1701.03098](https://arxiv.org/abs/1701.03098)  
**Date:** 2017-01-11  
**Summary page:** https://www.summarizepaper.com/en/paper/1701.03098v3/

## Key points

- Study extends Gatheral's trading strategy framework from single stocks to pairs of stocks
- Involves executing two round-trip trades based on trading rates and periods of paired stocks
- Minimizes potential costs from cross-impacts to determine optimal strategy for trade sequence
- Model applied to specific case using empirical data to quantify cross-impacts in traded volumes and time lag
- Analysis provides insights into how cross-impacts influence trading strategies and importance in developing effective approaches
- Contributes to understanding how cross-impacts impact trading decisions and performance in financial markets

## Summary

In the study "Trading strategies for stock pairs regarding to the cross-impact cost" by Shanshan Wang, the framework of trading strategies proposed by Gatheral [2010] is extended from single stocks to a pair of stocks. This extension involves executing two round-trip trades based on the trading rates and periods of the paired stocks. By minimizing potential costs arising from cross-impacts, an optimal strategy for executing a sequence of trades can be determined. The model is applied to a specific case where empirical data is used to quantify cross-impacts in terms of traded volumes and time lag for cost computation. This analysis provides valuable insights into how cross-impacts influence trading strategies and highlights their importance in developing effective approaches. Overall, this study contributes to enhancing our understanding of how cross-impacts can impact trading decisions and performance in financial markets.