Let’t talk pair trading and arbitrage video playback

(Last Updated On: December 5, 2016)
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Let’t talk pair trading and arbitrage video playback

Links from the groups discussion


Standard deviation 2



we use a time-based exit


the spread is an Ornstein-Uhlenbeck process


so you can compute the first passage time


once that time has elapsed, you know the trade has broken down


yeah we exit when the spread goes near the mean

usually 0.5 standard deviations away




yeah, we use GPUs to findd the parameters and pairs to trade








the power of GPUs 🙂

we have tick data


it’s all historical patterns


we’re a pure quant fund – no fundamentals


well, we use 1M for testing


but we use bid and ask from tick


Do you use convolution methods to search for patterns?


yeah we use mid for entries


no we don’t, we literally just test every parameter combination


You can use stuff like shift invarient dictionary learning, basis search, any sort of multiscale wavelet will also give you a pattern dictionary.


post it on your blog if you remember 🙂


ATR EPS Market Cap

  • Trendline on the spread between closing to long/short
  • SMA


EXIT/Close-> Beta / SMA trendline TA/stats distribution/IV

you can use bollinger bands to do the same as what I’m doing


Sorry, Volume weighted price average for entry/exit


Jurik’s JMA is pretty good


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