Which of the following pairs trading statements are true? Consider we use Asset 1 and Asset 2 with corresponding log-prices and with and the spread is defined as the difference between Asset 1 and Asset 2.

i) In Pairs trading, when the spread exceeds the -C threshold, we should long Asset 1 and short Asset 2.

ii) In Pairs trading, when the spread exceeds the C threshold, we should long Asset 1 and short Asset 2.

iii) In Pairs trading, when the spread exceeds the C threshold, we should short Asset 1 and long Asset 2.

iv) In Pairs trading, when the spread exceeds the -C threshold, we should short Asset 1 and long Asset 2.

Select one:

a.

(i) False, (ii) True, (iii) True, (iv) False

b.

(i) True, (ii) False, (iii) True, (iv) False

c.

(i) True, (ii) False, (iii) False, (iv) True

d.

(i) True, (ii) True, (iii) False, (iv) False

e.

(i) False, (ii) False, (iii) True, (iv) True

f.

(i) False, (ii) True, (iii) False, (iv) True