Tag Archives: stat arb

The VIX has a daily autocorrelation of −.04, a weekly autocorrelation of −.21, and a monthly autocorrelation of −.12. Euan Sinclair, Volatility Trading

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In this paper an exhaustive characterization of financial markets was given. Dependence: Autocorrelation in returns if largely insignificant. (Exceptions being at the tick level and annual returns.) Distribution: Approximately symmetric, increasingly positive kurtosis as the time interval decreases and a … Continue reading

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Stat Arb

The point of statistical arbitrage is to make markets consistent. For example, if GBP trades against USD at 2:1, and USD trades against JPY at 10 000:1, then GBP had better be trading against JPY at 20 000:1 !! ! Anything else wouldn’t … Continue reading

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Stat Arb

The point of statistical arbitrage is to make markets consistent. For example, if GBP trades against USD at 2:1, and USD trades against JPY at 10 000:1, then GBP had better be trading against JPY at 20 000:1 !! ! Anything else wouldn’t … Continue reading

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High-Frequency Trading

The point of high-frequency trading is to smooth markets over time. Imagine that you know a big block order is coming in. Some huge pension fund needs to send 70,000 checks out next week so they’re selling some asset. The … Continue reading

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High-Frequency Trading

The point of high-frequency trading is to smooth markets over time. Imagine that you know a big block order is coming in. Some huge pension fund needs to send 70,000 checks out next week so they’re selling some asset. The … Continue reading

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Finance Week

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GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. To translate, skedasticity refers to the volatility or wiggle of a time series. Heteroskedastic means that the wiggle itself tends to wiggle. Conditional means the wiggle of the wiggle depends on something else. … Continue reading

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μ d𝓽 + σ dW𝓽, my #$$

μ dt + σ dWt, my #$$ The simplest model of a stock price movement is that the log of the price moves in a direction, plus some noisy drift (like adding a Gaussian W𝓽 at every timestep). Agustin Silvani … Continue reading

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