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Statistical Arbitrage resources


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Statistical Arbitrage resources

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  #1 (permalink)
hirtop
Seattle WA
 
 
Posts: 16 since Nov 2014
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I am looking for some good websites/resources on statistical arbitrage.
There are some books and white papers available out there but they are filled with complicated math formulas which are difficult to grasp for the average trader.

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  #3 (permalink)
 Neo1 
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hirtop View Post
I am looking for some good websites/resources on statistical arbitrage.
There are some books and white papers available out there but they are filled with complicated math formulas which are difficult to grasp for the average trader.

How's the average trader suppose to trade statistical arbitrage? Especially when they have limited domain skill when it comes to Math.

"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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  #4 (permalink)
hirtop
Seattle WA
 
 
Posts: 16 since Nov 2014
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Neo1 View Post
How's the average trader suppose to trade statistical arbitrage? Especially when they have limited domain skill when it comes to Math.

Indeed it is intimidating in the beginning...I've read a few books and white papers on the subject and you need to have a good understanding of statistics and calculus in order to automate it.
However, I am manually trading a neutral market strategy with decent returns...thing is that you don't care anymore about the market direction since you are hedged...
I believe that this can be done and implemented at our level (i.e. average retail trader)...

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 SMCJB 
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hirtop View Post
I am looking for some good websites/resources on statistical arbitrage.
There are some books and white papers available out there but they are filled with complicated math formulas which are difficult to grasp for the average trader.

What exactly do you mean by "statistical arbitrage". Stat Arb to me refers to a subset of 'Quantitative Trading' focused on equities, often pairs trading.

Quantitative Trading: How to Build Your Own Algorithmic Trading Business by Ernest Chan is pretty good, especially for somebody who doesn't want a lot of 'complicated math formulas' but to be honest I think you'll be limited in Stat Arb/Quant Trading without getting into some non-basic arithmetic level math.

Wilmott is a highly respected Quant site with information, resources and forums, but generally the expected understanding/math level is typically pretty high.

Maybe slightly off-topic (but probably not as off-topic as you may think) is the free coursera.org online class on Machine Learning. It's a very highly respected course, that I and several others on this forum have done. The Math isn't that complicated, although it's a lot easier if you understand matrices, but the course does involve some basic programming in Octave which is actually very intuitive.

More off topic, The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It is an interesting and entertaining reading, about 2008, but you won't learn anything that you can immediately use in your trading.

Maybe start a new thread "statistical arbitrage discussion" and we can have a discussion here.

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  #6 (permalink)
hirtop
Seattle WA
 
 
Posts: 16 since Nov 2014
Thanks: 10 given, 3 received


SMCJB View Post
What exactly do you mean by "statistical arbitrage". Stat Arb to me refers to a subset of 'Quantitative Trading' focused on equities, often pairs trading.

Quantitative Trading: How to Build Your Own Algorithmic Trading Business by Ernest Chan is pretty good, especially for somebody who doesn't want a lot of 'complicated math formulas' but to be honest I think you'll be limited in Stat Arb/Quant Trading without getting into some non-basic arithmetic level math.

Wilmott is a highly respected Quant site with information, resources and forums, but generally the expected understanding/math level is typically pretty high.

Maybe slightly off-topic (but probably not as off-topic as you may think) is the free coursera.org online class on Machine Learning. It's a very highly respected course, that I and several others on this forum have done. The Math isn't that complicated, although it's a lot easier if you understand matrices, but the course does involve some basic programming in Octave which is actually very intuitive.

More off topic, The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It is an interesting and entertaining reading, about 2008, but you won't learn anything that you can immediately use in your trading.

Maybe start a new thread "statistical arbitrage discussion" and we can have a discussion here.

Thank you for the links :-) Much appreciated!
I am looking forward to discuss it further on a new thread

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