Statistical arbitrage and pairs trading - University College PDF
Preview Statistical arbitrage and pairs trading - University College
Statistical arbitrage and pairs trading Nikos S. Thomaidis, PhD1 Dept. ofFinancialEngineering &Management UniversityoftheAegean, GREECE email: [email protected] DeptURL:http://labs.fme.aegean.gr/decision/ Personal website: http://users.otenet.gr/~ntho18 1incollaboration withNicholasKondakis, KeplerAssetManagementLLCand NGSQInternational Ltd,NY. NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline What is pairs trading? NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline What is pairs trading? Developing a pairs trading system from scratch NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline What is pairs trading? Developing a pairs trading system from scratch Empirical study: statistical arbitrage between Dow Jones Industrial Average (DJIA) stocks NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline What is pairs trading? Developing a pairs trading system from scratch Empirical study: statistical arbitrage between Dow Jones Industrial Average (DJIA) stocks Conclusions NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline What is pairs trading? Developing a pairs trading system from scratch Empirical study: statistical arbitrage between Dow Jones Industrial Average (DJIA) stocks Conclusions Trading risks NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline What is pairs trading? Developing a pairs trading system from scratch Empirical study: statistical arbitrage between Dow Jones Industrial Average (DJIA) stocks Conclusions Trading risks Opportunities NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Outline What is pairs trading? Developing a pairs trading system from scratch Empirical study: statistical arbitrage between Dow Jones Industrial Average (DJIA) stocks Conclusions Trading risks Opportunities Future challenges NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading Pairs trading: the history 2See [Pole, 2007, Vidyamurthy,2004] and http://www.pairtradefinder.com/pairTrading.pdf for interesting facts and information on thehistory of thetopic. NikosS.Thomaidis,PhD Statisticalarbitrageandpairstrading
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