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The Microstructure of Cointegrated Assets

The Microstructure of Cointegrated Assets

Posted June 16, 2021
Sasha Stoikov
Sasha Stoikov Research

The paper “The Microstructure of Cointegrated Assets” is available via SSRN:


Sasha Stoikov
Cornell Financial Engineering Manhattan

Peter Decrem
Citibank, N.A. – Citi Fixed Income Currency & Commodities

Yikai Hua
Cornell Financial Engineering Manhattan

Anne Shen
Cornell Financial Engineering Manhattan

Date Written: April 11, 2021


We define the micro price of multiple cointegrated assets. This yields a notion of fair prices, as a function of the observable state of multiple order books. We compute the microprices of two highly cointegrated assets, using Level-1 data collected on Interactive Brokers. We design an execution algorithm based on this two dimentional microprice and show that it can save half of the bid-ask spread cost.

Stoikov, Sasha and Decrem, Peter and Hua, Yikai and Shen, Anne, The Microstructure of Cointegrated Assets (April 11, 2021). Available at SSRN: or

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