Tag Archives: statistical arbitrage

What is mean reversion statistical arbitrage?

What is mean reversion statistical arbitrage?

Mathematical approach to explain this

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2478345

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Matlab downloadable source code demos for statistical arbitrage with genetic algorithms

Matlab downloadable source code demos for statistical arbitrage with genetic algorithms

Matlab source files include:

http://www.mathworks.com/matlabcentral/fileexchange/index?term=id%3A24120

http://www.mathworks.com/matlabcentral/fileexchange/24120-review-of-statistical-arbitrage–cointegration–and-multivariate-ornstein-uhlenbeck

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What quant trading building blocks for market forecasting with something like statistical arbitrage?

What quant trading building blocks for market forecasting with something like statistical arbitrage?

Download this PDF from here:

http://quantlabs.net/academy/downloads/?wpfb_s=arbitrage

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Here are some quant statistical arbitrage quant trading strategy Matlab examples that have been suggested

Here are some quant statistical arbitrage quant trading strategy Matlab examples that have been suggested
See more at:
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Today is another good day of private videos with the following 5 video on statistical arbitrage and event arbitrage

Today is another good day of private videos for my Premium Members with following 5 video on statistical arbitrage and event arbitrage

For statistical arbitrage:
Modelling returns with CAPM and APT aka Arbitrage Pricing Theory
Yield Curve
Currency Graph of shortest curvey path for major currency forex pairs
Howe you can beat a random walk

For event arbitrage:
Load and parsing hedge fund index data

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Bryan

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R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo

R URLS in Mean reversion, Statistical Arbitrage, Event arbitrage, Market Inefficiency, CAPM, Bayesian, PCA, Markov Chain Monte Carlo

This has been posted in the PremiumMembership section. This saves people tonnes of time which R script works and which ones don’t. Also, there will be a R source code walkthrough of each coming over the next few weeks.

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Quant analytics in Matlab: Why conintegration is very useful for forecasting and statistical arbitrage of two market assets

Quant analytics with Matlab: Really good online explanation why conintegration is very useful for forecasting and statistical arbitrage of two market assets

Regardless of your knowledge this could be a very effective way to learn how to forecast which leads into stat arb using Matlab. It shows a lot of promise:

http://www.mathworks.com/company/events/webinars/webinarconf.html?id=55450&language=en

http://www.mathworks.com/matlabcentral/fileexchange/31060-cointegration-and-pairs-trading-with-econometrics-toolbox

This could be useful in C#

http://www.quantcode.com/modules/mydownloads/singlefile.php?cid=15&lid=579

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