Skip to Content
Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Lead-lag in StatArb

Another important consideration is that this strategy implicitly expects the portfolio to lead and the trading instrument is lagging in terms of reaction by market participants. When this is not true, for example, when the trading instrument we are trying to trade is actually the one leading price moves across the portfolio, then this strategy doesn't perform well, because instead of the trading instrument price catching up to the portfolio, now the portfolio prices catch up to the trading instrument. This is the concept of lead-lag in StatArb; to be profitable, we need to find trading instruments that are mostly lagging and build a portfolio of instruments that are mostly leading.

A lot of the time, the way this manifests ...

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

Irene Aldridge
Developing High-Frequency Trading Systems

Developing High-Frequency Trading Systems

Sebastien Donadio, Sourav Ghosh, Romain Rossier

Publisher Resources

ISBN: 9781789348347Supplemental Content