DislikedHi. New to forexfactory. Been trading the GBP/JPY-GBP/USD spread. At the current volatility levels I'm looking to short the spread (short GBP/JPY long GBP/USD). We're seeing reasonable levels of co-integration on the the daily. Anyone else doing stat arb on this?Ignored
Also, since you mentioned cointegration, you might find the following an interesting simplification regarding creating a two pair cointegrated spread using an approach like Engle Granger: http://forums.babypips.com/free-fore...tml#post405656
Hopefully this will give you one or two new takes and some food for thought regarding the implications of G/J - G/U.