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George Papanicolaou, Stanford: Statistical Arbitrage

April 26 @ 12:30 pm - 2:00 pm

Statistical arbitrage is a collection of trading algorithms that are widely used today but can have very uneven performance, depending on their detailed implementation. I will introduce these methods and explain how  the data used as trading signals are prepared so that they depend weakly on market dynamics but have adequate statistical regularity. The trading algorithm itself will be presented and then a well calibrated version of it will be used on daily SP500 data from 2003-2014. Well calibrated means that the risk associated with this trading algorithm can be identified and controlled effectively. It also emerges from this study of statistical arbitrage algorithms that when tested with real data they can produce strong and steady returns that are essentially decoupled from overall market behavior. (Joint work with J. Yeo.)

Details

Date:
April 26
Time:
12:30 pm - 2:00 pm
Event Category: