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Arbitrage
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Arbitrage

  #11 (permalink)
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Nicolas11 View Post
With respect to statistical arbitrage...

There is a some introductory words in:
Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business, Wiley 2008
... but do not buy it only for this. I am just mentioning in case you already have this book.

An interesting reference is:
Ganapathy Vidyamurthy, Pairs Trading, Quantitative Methods and Analysis, Wiley 2004
Two thirds of the book are dedicated to statistical arbitrage based on co-integration.

Nicolas

I've read both of those and unfortunately both are severely lacking. They cover the basic ideas (which are essentially trivial) in a long-winded way but then completely ignore implementation issues and the success factors determining the profitability of stat arb trades, which are the parts that actually make the money.

There are a couple of interesting academic papers (just search for pairs trading/statistical arbitrage on google scholar) but they too are really lacking useful info in the most important areas...at least they're short though.

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  #12 (permalink)
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Well... If you say that Vidyamurthy is "trivial" (and I believe you), it confirms that it was a wise decision for me to walk away from this arbitrage field.

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  #13 (permalink)
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Social Science Research Network (SSRN) Home Page

Favorite website for the money maths papers.

"If I agreed with you, we'd both be wrong."
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  #14 (permalink)
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Post is a little old but if still interested, I had done a lot of stat arb for a few years when with a prop firm, VERY capital intensive, thus potentially running high haircut fees or in pairs such as CMCSA-CMCSK, where you are shooting for a few pennies, potentially costly commission fees.
Whatever you do, best of luck in your direction

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