Matlab quant finance trading resources with source code for statistical artbitrage aka stat arb

(Last Updated On: April 17, 2014)

Matlab quant finance trading resources with source code for statistical artbitrage aka stat arb


The Trading Systems and Method book has a while chapter on it (Ch 13) but that would entail another investigative process separately. It looks like pair trading is a big part of this which I already covered.

Here are a bunch I am going to go through so stay tuned:

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck by Attilio Meucci
http://www.mathworks.com/matlabcentral/fileexchange/24120-review-of-statistical-arbitrage–cointegration–and-multivariate-ornstein-uhlenbeck <-Meucci standard
Developing a Financial Market Index Tracker using MATLAB OOP and Genetic Algorithms by Mark Hoyle <–this is a complete Mathworks webinar

https://files.nyu.edu/fma1/public/Lecture_1.pdf |<– excellent highlight of the process from a high level (note pg 11 but more overall on all model types)

http://www.nada.kth.se/utbildning/grukth/exjobb/rapportlistor/2005/rapporter05/zhu_kun_05192.pdf <– so specific coding example but done in C# with good overall explanation
http://www.stanford.edu/class/msande444/2009/2009Projects/2009-2/MSE444.pdf <– good order book description (pg 58 has buy and selling short condition)

file:///C:/Users/i7-acer/Downloads/Caldeira_Moura_2013_Selecao-de-uma-carteira-de-par_10051.pdf  <–no code but focuses on position management and order trigger
http://mathtrading.wordpress.com/ <–no specific Matlab code for stat arb
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/viewFile/4785/7889 <–pg 10 explained order trigger (no mention of source code examples)

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