Download or read book Ultra High Frequency Statistical Arbitrage Across International Index Futures written by Hamad Alsayed and published by . This book was released on 2013 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that exploitable lead-lag relations of the order of a few hundred milliseconds exist in the three pairings between the S&P 500, FTSE 100, and DAX futures contracts. These relations exhibit clear intra-daily patterns, particularly around the US open, the European close, and the announcement of macroeconomic data. Using this information, we forecast mid-quote changes in lagging contracts with a directional accuracy in excess of 85%. A simple statistical arbitrage strategy exploiting these relations yields economically significant profits which are robust to market impact costs and the bid-ask spread. However, returns are sensitive to the risk of slippage, and the most profitable trading opportunities rarely exist for longer than 300 milliseconds. Hence, we highlight price slippage and infrastructure costs as the most significant limits to arbitrage in this market setting. Overall, our results accord with the view that informational inefficiencies incentivize arbitrageurs to appropriate pricing anomalies.

Download or read book High Frequency Statistical Arbitrage with Kalman Filter and Markov Chain Monte Carlo written by Han Xu and published by . This book was released on 2017 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: Statistical arbitrage, or sometimes called pairs trading, is an investment strategy which exploits the historical price relationships between two or several assets and profits from relative mispricing. It has a long history in hedge fund industry and variates of this kind of strategies are still profitable nowadays. The idea is simple and the source of the profit has support from fundamentals in economics and pricing theories. However, there are still many difficulties in implementing and testing such strategies in real life, which include how to select pairs, how to estimate hedge ratio, when to enter, when to exit and etc. Due to its proprietary nature, there is very few literature on this subject. This thesis is an attempt to demystify statistical arbitrage in high-frequency settings, using freely available data of Chinese commodity futures. This thesis introduces and discusses the existing research done on this subject. Also, with the help of advanced statistical inference approaches for treating time series, this thesis proposed a new model which generalizes the entire process of creating a profitable statistical arbitrage trading strategy for a given market. Several different approaches are implemented and their simulated performances in the Chinese commodity future market are compared horizontally. Unlike much other existing literature, transaction costs and market frictions have been considered thoroughly in order to make the research result more meaningful. Empirical results show that our new model delivers very competitive performance in online hedge ratio estimation.

Download or read book High frequency Trading And Probability Theory written by Zhaodong Wang and published by World Scientific. This book was released on 2014-09-11 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first of its kind to treat high-frequency trading and technical analysis as accurate sciences. The authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the financial market in detail. The authors' arguments are based on rigorous mathematical and statistical deductions and this will appeal to people who believe in the theoretical aspect of the topic.Investors who believe in technical analysis will find out how to verify the efficiency of their technical arguments by ergodic theory of stationary stochastic processes, which form a mathematical background for technical analysis. The authors also discuss technical details of the IT system design for high-frequency trading.

Download or read book Statistical Arbitrage written by Andrew Pole and published by John Wiley & Sons. This book was released on 2011-07-07 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.

Download or read book Statistical Arbitrage Opportunities Between Commodity Futures and Commodity Currency Futures written by Jan-Philipp Weber and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis introduces two algorithmic statistical arbitrage trading strategies based on the fixed hedge ratio of the Engle-Granger cointegration regression and the daily forward-looking hedge ratio of the Kalman filter. Both trading strategies have the objective to exploit short-term deviations from the stochastic long-term equilibrium between country-specific commodity currency futures and commodity futures of Australia, Canada, New Zealand and South Africa based on daily futures prices in the time period from 2005 until 2013. The empirical results suggest that the cointegration relationship between commodity currency futures and commodity futures is highly unstable and switches between a non-cointegrated and a cointegrated regime over time. The error correction models show that commodity futures are weakly exogenous and that commodity currency futures mainly react to short-term deviations from the long-term equilibrium. In addition, the Kalman filter reveals that the pair-specific hedge ratios are highly sensitive over time. The thesis demonstrates that both trading strategies are suitable to exploit statistical arbitrage opportunities based on different combinations between the trading threshold and convergence target. However, the profitability of both trading strategies declined out-of-sample owed to the regime switches in the cointegration relationship and the smaller size of the price anomalies. Further research should focus on the time-varying properties of the hedge ratios and the causes for the regime switches in the cointegration relationship including the implementation of non-linear, respectively regime switching models. Also the pair-specific holdings of the portfolios could be optimised and the performance of the trading strategies tested on high frequency data.

Download or read book Statistical Arbitrage and High Frequency Data with an Application to Eurostoxx 50 Equities written by Jozef Rudy and published by . This book was released on 2013 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for this paper is to apply a statistical arbitrage technique of pairs trading to high-frequency equity data and compare its profit potential to the standard sampling frequency of daily closing prices. We use a simple trading strategy to evaluate the profit potential of the data series and compare information ratios yielded by each of the different data sampling frequencies. The frequencies observed range from a 5-minute interval, to prices recorded at the close of each trading day.The analysis of the data series reveals that the extent to which daily data are cointegrated provides a good indicator of the profitability of the pair in the high-frequency domain. For each series, the in-sample information ratio is a good indicator of the future profitability as well.Conclusive observations show that arbitrage profitability is in fact present when applying a novel diversified pair trading strategy to high-frequency data. In particular, even once very conservative transaction costs are taken into account, the trading portfolio suggested achieves very attractive information ratios (e.g. above 3 for an average pair sampled at the high-frequency interval and above 1 for a daily sampling frequency).

Download or read book Statistical Arbitrage written by Igor Skachkov and published by . This book was released on 2013 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Medium frequency trading strategies include all trading activities, that do not require market microstructure analysis on one side and signi cantly depend on market impact on the other side. The most important di erence from high frequency trading is the ability to analyze big amount of data using complex algorithms. Portfolio management in this case is the dynamic process, combination of signal (alpha) discovery and optimal execution on the level of trading scheduling. We used close price and trading volume time series for the list of S&P 500 companies that exist in an index since the beginning of 2008 at least. In this paper we present signal generation approaches as well as optimization of portfolio transactions. Formally the performances of medium frequency statistical arbitrage strategies are much better than the performance of their benchmarks, but they are very sensitive to the quality of trading engine and optimization software. In this minor revision we added the results of out-of-sample tests and explanations of terms and methodology.

Download or read book RETRACTED BOOK 151 Trading Strategies written by Zura Kakushadze and published by Springer. This book was released on 2018-12-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation, global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students.

Download or read book Estimation of Performance and Execution Time Effect on High Frequency Statistical Arbitrage Strategies written by Elmira Popova and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This research is designed to help quantify one of the "slippages" which are often recognized in quant strategies. The idea is that whenever the actual executed prices are away (both time and size) from the model prices, the realized returns will suffer. The slippage for a particular statistical arbitrage strategy is quantified. It is shown that portion of the loss is due to using different prices for estimating the parameters of the strategy. The main source of the loss is the use of intraday in place of market on close prices. Five years of intraday transaction data from NYSE TAQ database are used. Analysis shows that on average the daily loss due to intraday prices accounts for 0.03% of the initial capital. For the period 2003-2006 the accumulated loss is approximately 30%. The described approach can be of use to new quantitative analysts who create and backtest trading strategies. It could also be used during the due diligence process of a fund that is interested in investing in a statistical arbitrage strategy. The recommendation from this research is to require a backtest done by using intraday and market on close prices in order to identify the size of such loss.

Download or read book Pairs Trading written by Ganapathy Vidyamurthy and published by John Wiley & Sons. This book was released on 2011-02-02 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.

Download or read book Proceedings of the 2022 International Conference on Mathematical Statistics and Economic Analysis MSEA 2022 written by Gaikar Vilas Bhau and published by Springer Nature. This book was released on 2022-12-22 with total page 1514 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. 2022 International Conference on Mathematical Statistics and Economic Analysis(MSEA 2022) will be held in Dalian, China from May 27 to 29, 2022. Based on probability theory, mathematical statistics studies the statistical regularity of a large number of random phenomena, and infers and forecasts the whole. Economic development is very important to people's life and the country. Through data statistics and analysis, we can quickly understand the law of economic development. This conference combines mathematical statistics and economic analysis for the first time to explore the relationship between them, so as to provide a platform for experts and scholars in the field of mathematical statistics and economic analysis to exchange and discuss.

Download or read book High Frequency Trading written by Irene Aldridge and published by John Wiley and Sons. This book was released on 2009-12-22 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail. Contains the tools and techniques needed for building a high-frequency trading system Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation Written by well-known industry professional Irene Aldridge Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.

Download or read book Algorithmic Trading written by Ernie Chan and published by John Wiley & Sons. This book was released on 2013-05-28 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Algorithmic TRADING “Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. Concepts are not only described, they are brought to life with actual trading strategies, which give the reader insight into how and why each strategy was developed, how it was implemented, and even how it was coded. This book is a valuable resource for anyone looking to create their own systematic trading strategies and those involved in manager selection, where the knowledge contained in this book will lead to a more informed and nuanced conversation with managers.” —DAREN SMITH, CFA, CAIA, FSA, Managing Director, Manager Selection & Portfolio Construction, University of Toronto Asset Management “Using an excellent selection of mean reversion and momentum strategies, Ernie explains the rationale behind each one, shows how to test it, how to improve it, and discusses implementation issues. His book is a careful, detailed exposition of the scientific method applied to strategy development. For serious retail traders, I know of no other book that provides this range of examples and level of detail. His discussions of how regime changes affect strategies, and of risk management, are invaluable bonuses.” —ROGER HUNTER, Mathematician and Algorithmic Trader

Download or read book Investment Strategies of Hedge Funds written by Filippo Stefanini and published by John Wiley & Sons. This book was released on 2010-03-11 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the fastest growing investment sectors ever seen, hedge funds are considered by many to be exotic and inaccessible. This book provides an intensive learning experience, defining hedge funds, explaining hedge fund strategies while offering both qualitative and quantitative tools that investors need to access these types of funds. Topics not usually covered in discussions of hedge funds are included, such as a theoretical discussion of each hedge fund strategy followed by trading examples provided by successful hedge fund managers.

Download or read book High Frequency Trading written by Irene Aldridge and published by John Wiley & Sons. This book was released on 2013-04-22 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fully revised second edition of the best guide to high-frequency trading High-frequency trading is a difficult, but profitable, endeavor that can generate stable profits in various market conditions. But solid footing in both the theory and practice of this discipline are essential to success. Whether you're an institutional investor seeking a better understanding of high-frequency operations or an individual investor looking for a new way to trade, this book has what you need to make the most of your time in today's dynamic markets. Building on the success of the original edition, the Second Edition of High-Frequency Trading incorporates the latest research and questions that have come to light since the publication of the first edition. It skillfully covers everything from new portfolio management techniques for high-frequency trading and the latest technological developments enabling HFT to updated risk management strategies and how to safeguard information and order flow in both dark and light markets. Includes numerous quantitative trading strategies and tools for building a high-frequency trading system Address the most essential aspects of high-frequency trading, from formulation of ideas to performance evaluation The book also includes a companion Website where selected sample trading strategies can be downloaded and tested Written by respected industry expert Irene Aldridge While interest in high-frequency trading continues to grow, little has been published to help investors understand and implement this approach—until now. This book has everything you need to gain a firm grip on how high-frequency trading works and what it takes to apply it to your everyday trading endeavors.

Download or read book High frequency Trading written by David Easley and published by . This book was released on 2013-09-30 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Disrupting Finance written by Theo Lynn and published by Springer. This book was released on 2018-12-06 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access Pivot demonstrates how a variety of technologies act as innovation catalysts within the banking and financial services sector. Traditional banks and financial services are under increasing competition from global IT companies such as Google, Apple, Amazon and PayPal whilst facing pressure from investors to reduce costs, increase agility and improve customer retention. Technologies such as blockchain, cloud computing, mobile technologies, big data analytics and social media therefore have perhaps more potential in this industry and area of business than any other. This book defines a fintech ecosystem for the 21st century, providing a state-of-the art review of current literature, suggesting avenues for new research and offering perspectives from business, technology and industry.