Navnoor Bawa·Oct 31How Jim Simons Decided to Sell in the 2007 Stat Arb Crash, Against Medallion’s ModelsLeverage sets a deadline, and since 1963 the stat arb trade’s crashes came half back within a week only 21 times in 76.A response icon2A response icon2
Navnoor Bawa·Oct 13Jim Simons’s First Stock Fund Ran on Stat Arb. A Quant Who Left Morgan Stanley Built It.Robert Frey left Morgan Stanley in 1988 to build Kepler, and Renaissance kept his prediction model when it rebuilt the fund.
InDataDrivenInvestorbyYasanji Ratnaike·Oct 7From Pairs Trading to a Portfolio in Python, Part 3: Adding to the BookPart 2 found a small edge in large-cap pairs, too thin and too concentrated to be considered reliable. This entry tests three ways of…
InDataDrivenInvestorbyYasanji Ratnaike·Oct 7From Pairs Trading to a Portfolio in Python, Part 2: Testing the BookPart 1 built an engine for finding cointegrated pairs. This entry takes it forward through time, builds a risk framework around it, and…
InDataDrivenInvestorbyYasanji Ratnaike·Sep 27From Pairs Trading to a Portfolio in Python, Part 1: Building the EngineWhat decides a pairs trade is the difference between correlation and cointegration. This first entry builds the engine that tells the two…
Navnoor Bawa·Sep 24Gauss Didn’t Publish Least Squares First. Legendre Did. D.E. Shaw and PDT Built Stat Arb on It.Gauss-Markov never addressed the one thing that actually breaks a stat-arb hedge ratio in markets.
Jeremyjerome·Sep 4How Top Quant Firms Profit from these two Trading Strategies.The under-looked analytical statistical arbitrage that took over stock market.
InInsiderFinance WirebyTony Tsoi·Jul 29Statistical Arbitrage in PracticeCointegration and Mean Reversion from Pairs Trades to Multi-Asset BasketsA response icon1A response icon1
RadientBrain·Apr 26These Two Quant Strategies Prints Billions Quietly And Were Never Supposed to Be Public, Just…A response icon11A response icon11
Oren Tapiero·Apr 21Avellaneda and Lee Is Not Dead. It Is Just Much Harder to Trade Than It LooksA re-examination of one of quantitative finance’s most elegant statistical arbitrage frameworks and what survives once fees, hedging, and…A response icon1A response icon1
