问题是如何基于（超）高频数据作配对交易？,简单的描述是（超）高频数据下，是否还可以使用协整？如果后面想用用ACD-GARCH作的话，那么需要对两个资产序列分别预处理，计算出时间间隔病截断数据，这就很可能使两个资产的观察值个数不等，这样的话，还能用协整么？协整系数还能正确表达两个资产之间的稳定关系么？,正文为推荐你几篇paper Forecasting Irregularly Spaced UHF Financial Data Realized Volatility vs UHF-GARCH Models httpwww.repad.orgcaqcuquqodsaRealizedVolatilityandUHFrepadjuillet2006.pdf High Frequency and Dynamic Pairs Trading Based on Statistical Arbitrage Using a Two-Stage Correlation and Cointegration Approach httpccsenet.orgjournalindex.phpijefarticleview33007 Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 5