The statistical arbitrage strategy emerged in the mid-80s, developed by a group of scientists associated with Morgan Stanley’s investment bank. This approach entails the choice of a pair of financial assets that have traditionally shown parallel movements. A profit can be achieved by establishing a long-short position on this pair when they move apart, resulting in gains upon their subsequent return to an average when closing the position. In this chapter, we are going to conduct a study on the application of this methodology by applying methods from the field of econophysics. To do this, we will examine the Hurst exponent method, which is one of the approaches that best fits to measure the mean reversion of financial series.