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April 2018

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…

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