F faltings Apr 29, 2014 #1 Suppose we have 1s last price data, and we observe the 5-min return series moves almost like mirror to the series lagged by about 5min (they have significant negative correlation). Could anyone point out ideas or articles to trade this pattern?
Suppose we have 1s last price data, and we observe the 5-min return series moves almost like mirror to the series lagged by about 5min (they have significant negative correlation). Could anyone point out ideas or articles to trade this pattern?
