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Special Report on

Equity Statistical Arbitrage Trading

equity statistical arbitrage trading special research report Photo by www.harrowmedia.co.uk
The Statistical Arbitrage module is designed for traders who have experience with statistical arbitrage concepts in theory and/or practice. It is NOT suitable for inexperienced traders or people searching for 'fire and forget' black box trading systems. The generic arbitrage engine is a configurable toolset designed to track two highly correlated or co-integrated assets. The system automatically executes trades when trader defined arbitrage conditions are met and closes the trades when mean reversion is complete, a defined profit target has been achieved or the trades breach the maximum risk levels (based on % of ...
striking a combination of matching deals that capitalize upon the imbalance, the profit being the difference between the market prices . When used by academics, an arbitrage is a transaction that involves no negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state; in simple terms, it is the possibility of a risk-free profit at zero cost. In principle and in academic use, an arbitrage is risk-free; in common use, as in statistical arbitrage , it may refer to expected profit, though losses may occur, and in practice, there are always risks in arbitrage, some minor (such as ...
REVIEWS AND OPINIONS
Rising correlation and computer-driven trading | Analysis & Opinion |
Correlation among the individual equities in the Standard and Poor’s 500 index  has increased to the highest level since 1987, according to research by Birinyi Associates reviewed in the Wall Street Journal. Birinyi Research Director Jeffrey Yale Rubin blames heightened correlation on the increasing popularity of indexing strategies, which he claims have transformed the way the whole market behaves, reducing the dispersion of returns. Investors increasingly trade in and out of the whole market using broad indices (including exposure offered by exchange-traded funds) rather than picking individual stocks (see list of ... market research, surveys and trends
Scientific Proof That High Frequency Trading Induces Adverse ...
Investors are understandably scared of the sovereign debt crisis unfolding in Europe. Amid their angst, however, they are ignoring a more likely, and significantly larger, debt catastrophe that is about to hit the nation with the second-largest economy in the world — Japan. Two decades of stimulative, low-interest-rate fiscal policy have made Japan the most indebted nation in the developed world, and as new Prime Minister Naoto Kan recently said, in his first address to Parliament, that situation is not sustainable. Japan has little choice but to raise interest rates substantially, with dire consequences far beyond its shores. ... market research, surveys and trends

SURVEY RESULTS FOR
EQUITY STATISTICAL ARBITRAGE TRADING

Equity trading benchmark shows liquidity fragmentation still ...
According to its co-authors, senior consultant Laurie Berke and research analyst Matt Simon, buy-side traders have as much technology and expertise to effectively trade in today’s trading environment as their sell-side counterparts, but both sides face a rapidly shifting path to find liquidity. Although regulatory changes have facilitated the development of new execution venues -- electronic communication networks (ECNs), multilateral trading facilities (MTFs), crossing networks and dark pools -- that have resulted in a dramatic increase in the technology that now dominates the buy-side trading desk. Today, completing a trade ... industry trends, business articles and survey research
TABB Group Pulls Back the High-Frequency Trading Curtain by ...
TABB Group outlines a few principles to which it adheres when discussing the controversial subject of high-frequency trading. By Adam Sussman, Director of Research, TABB Group October 07, 2009 For the most part, high-frequency hedge funds engage in short-term trading opportunities rather than bona fide liquidity-based strategies. While the umbrella term statistical arbitrage is frequently applied to strategies with extremely high volumes, there is plenty of ambiguity in this term. It is also true that the majority of funds engaged in statistical arbitrage are not high-frequency by today's standards. However, over the past ... industry trends, business articles and survey research
RELATED NEWS
Scientific Proof That High Frequency Trading Induces Adverse Changes In Market ...
Up until recently, any debate between proponents and opponents of High Frequency Trading would typically be represented by heated debates of high conviction on either side, with discussions rapidly deteriorating into ad hominem attacks and the producer screaming ‘cut to commercial’ to prevent fistfights. Luckily, all this is about to change. In a research paper by Reginald Smith of the Bouchet Franklin Institute in Rochester titled “ Is high-frequency trading inducing changes in market microstructure and dynamics? ” the author finds that he “ can clearly demonstrate that HFT is having an ... market trends, news research and surveys resources
Rising correlation and computer driven trading
Correlation among the individual equities in the Standard and Poor's 500 index has increased to the highest level since 1987, according to research by Birinyi Associates reviewed in the Wall Street Journal. Birinyi Research Director Jeffrey Yale Rubin blames heightened correlation on the increasing popularity of indexing strategies, which he claims have transformed the way the whole market behaves, reducing the dispersion of returns. Investors increasingly trade in and out of the whole market using broad indices (including exposure offered by exchange-traded funds) rather than picking individual stocks (see list of ... market trends, news research and surveys resources

INFORMATION RESOURCES

A Market Neutral Statistical Arbitrage Trading Model
A Market Neutral Statistical Arbitrage Trading Model. 01/01/95. 07/02/97 ..... It is an equity market neutral strategy of interest for investors who want to ... technology research, surveys study and trend statistics
Joint CFTC-SEC Advisory Committee on Emerging Regulatory Issues ...
Jun 22, 2010 ... statistical arbitrage investing. When we were founded in 1988, we focused primarily ... In addition, while much of our equities trading is ... technology research, surveys study and trend statistics
Statistical Arbitrage in the U.S. Equities Market
Abstract. We study model-driven statistical arbitrage strategies in U.S. equities. Trading signals are generated in two ways: using Principal Component ...
REAL TIME
EQUITY STATISTICAL ARBITRAGE TRADING
QUESTIONS AND ANSWERS
What is the most profitable trading strategy: Algo, ie High ...
Day trading is a "zero sum game" - this research is available and should be known to all competent financial professionals - it is a form of gambling. Institutional traders - are purposeful in that they buy on the bid and sell on the offer (as market makers) and/or they engage in hedging or some other purposeful activity. They are overseen and managed by "institutional risk managers". If they do not make a profit (with institutional help and oversight) they are fired. Algorithmic trading program performance follows a bell-shaped curve. Any developed programs that perform with positive alpha will be used by the developer to ...
I would like to see a list of risk/merger arbitrage hedge funds ...
Bernstein advanced value, Bernstein global diversified, Bernstein global opportunities, Alliance high-grade, AllianceBernstein absolute-return credit Alpha Equity Management Amaranth Advisors Amaranth International, Amaranth Partners, Amaranth Capital Partners, Amaranth Global Equities American Express Asset Management Angelo, Gordon & Co. Merger Arbitrage, Distressed Securities, Convertible Hedging, Utility Hedging, Real Estate, Leveraged Loans and Private Equity Appaloosa Management Palomino Funds Appleton Capital Management (Ireland) AQR Capital Management Argent Financial Group (Bermuda) Argent LowLev Convertible Arbitrage ...