Here's a book. http://www.amazon.com/exec/obidos/A...5764419/sr=2-2/ref=sr_2_2/104-3575890-5455923 One chapter on stock pairs.
Do google searches for research papers and working papers on the subject and you can turn up a few things although it's a bit dense (being academic research and all). In general though....Pairs need not be complicated, these people that want you to think it's rocket science...it isn't. You can get a list of the top 50-100 correlated pairs in the s&p and work around that. Cheers. http://papers.ssrn.com/sol3/delivery.cfm/98120315.pdf?abstractid=141615
At $495, it's not cheap, but I'm told it's very comprehensive. Check out http://www.pairtrader.com/arb_info.html
If you are really serious about pair trading find an experienced prop trading office that specializes in pair trading. I learned as much as I could from others in the office I was with, then used what works for me.
Hi, I have to disagree with you. I discovered the site in September of 2002. By November I had a working pairs trading system. Most of the system design comes from the pairs trading manual. I agree, $200 is a hefty price, but I made it all back many times over. This is the direct link to the manual for those who are interested: http://www.pairstrading.com/manual.asp There is also a new site that I discovered recently. It is a mirror image of www.pairstrading.com. It is called www.pairtrader.com. They also have a book The Art of Arb. They sell it for $495. Go figure... Check out the discussion I started last September http://www.elitetrader.com/vb/showthread.php?s=&threadid=8533. There is a lot of useful information there. Good luck to all, Al