Hey there, I'm a newbie to pairs and stat arb. I'm a trader at a prop firm and we have a group that runs a pair trading approach and does quite well. Some of their guidance and insights have led me to investigate this type of approach. Just made my way through Ganapathy Vidyamurthy's book and it was a good read. Also read Ernie Chan's Quantitative methods book and found it useful. Their holding periods span weeks and months so it is pretty capital intensive and not what I am looking for at the moment. I am looking at an intraday approach. What I am working on, is a form of sector arbitrage. Taking industries within sector ETF's, finding the most optimal stocks, finding optimal hedge ratio's to trade against the ETF. This is assuming that co-integration exists between stocks and their component etf's of course. In theory, by finding the optimal weightings of component stocks we should have created a synthetic asset to trade against the ETF. So when a sector or group of stocks get skewed, I can trade my synthetic asset against the broader ETF. I am looking at using some different factors to create the asset, but intuition tells me simplicity is key here. So this is what I am working on at the moment, just wondering if anyone has done this type of work on the intraday time frame?