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In finance, statistical arbitrage (often abbreviated as Stat Arb or StatArb) is a class of short-term financial trading strategies that employ mean reversion models involving broadly diversified portfolios of securities (hundreds to thousands) held for short periods of time (generally seconds to days). These strategies are supported by ...
STATISTICA – software; Statistical arbitrage; Statistical assembly; Statistical assumption; Statistical benchmarking; Statistical classification; Statistical conclusion validity; Statistical consultant; Statistical deviance – see deviance (statistics) Statistical dispersion; Statistical distance; Statistical efficiency; Statistical epidemiology
gretl is an example of an open-source statistical package. ADaMSoft – a generalized statistical software with data mining algorithms and methods for data management; ADMB – a software suite for non-linear statistical modeling based on C++ which uses automatic differentiation; Chronux – for neurobiological time series data; DAP – free ...
The common types of high-frequency trading include several types of market-making, event arbitrage, statistical arbitrage, and latency arbitrage. Most high-frequency trading strategies are not fraudulent, but instead exploit minute deviations from market equilibrium.
Algorithmic trading is a method of executing orders using automated pre-programmed trading instructions accounting for variables such as time, price, and volume. [1] This type of trading attempts to leverage the speed and computational resources of computers relative to human traders.
Thorp wrote many articles about option pricing, Kelly criterion, statistical arbitrage strategies (6-parts series), [18] and inefficient markets. [19] In 1991, Thorp was an early skeptic of Bernie Madoff's supposedly stellar investing returns which were proved to be fraudulent in 2008. [20]
Proprietary traders may use a variety of strategies such as index arbitrage, statistical arbitrage, merger arbitrage, fundamental analysis, volatility arbitrage, or global macro trading, much like a hedge fund. [2]
In finance, volatility arbitrage (or vol arb) is a term for financial arbitrage techniques directly dependent and based on volatility. A common type of vol arb is type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlying .