November 2019
Beginner
394 pages
10h 31m
English
Statistical arbitrage or StatArb is in some way similar to pairs trading that takes offsetting positions in co-linearly related products that we explored in Chapter 4, Classical Trading Strategies Driven by Human Intuition. However, the difference here is that StatArb trading strategies often have baskets or portfolios of hundreds of trading instrument, whether they are futures instruments, equities, options, or even currencies. Also, StatArb strategies have a mixture of mean reversion and trend-following strategies. One possibility is that price deviation in the instrument being traded is less than the expected price deviation based on the expected relationship with the price deviations for the portfolio of instruments. ...