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Special Report on

Statistical Arbitrage Scholarly Articles

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Dr. Khaldoun Khashanah,  Distinguished Service Professor and Program Director, Financial Engineering (FE), initiated the FE program at Stevens Institute of Technology in 2002.   He conducts research in stochastic systems dynamics and  modeling, high-frequency finance and algorithmic trading, systemic risk and systems of systems. He started his research in areas of underwater acoustics, porous media and Biot theory, functional analysis, and inverse problems in partial differential equations. He teaches  graduate and undergraduate mathematics courses in advanced engineering mathematics, probability and ...
Taleb has had three distinct careers, built around what he calls "epistemic limitations and constraints": probability, uncertainty and the fragility of human knowledge, which he packaged as the theory of Black Swan Events . Firstly, he is a bestselling author with 2.7 million copies sold in 31 languages. 1 Secondly, he is a university professor in Risk Engineering ( Distinguished Professor ), a scholar, an epistemologist and a philosopher of science. Finally, he is a former senior Wall Street trader, risk expert, and practitioner of mathematical finance. Taleb has been critical of the finance industry and has been ...
REVIEWS AND OPINIONS
Book Review: Soccernomics
Soccernomics: Why England Loses, Why Germany and Brazil Win, and Why the U.S., Japan, Australia, Turkey -- and Even Iraq -- Are Destined to Become the Kings of the World's Most Popular Sport , Nation Books, 2009. [ Amazon link ] There has been a lot of interest in sports from "the geeks" over the past three decades. Baseball has led the way as sabermetricians processed match data to improve conventional statistics and develop new ones, in the process obtaining valuable insights into the game and its players and challenging (and in some cases, overhauling) the conventional wisdom.  Sabermetrics hasn't been ... market research, surveys and trends
Random List of Sessions/Roundtables Portland 2008
SESSION ORGANIZERS:  THIS IS A RANDOM LIST OF SESSIONS/ROUNDTABLES FOR THE CONFERENCE IN PORTLAND.   WE HOPE TO HVE THE PRELIM PROGRAM UP ON THE WEB BY DECEMBER 18TH OR SO. Sociology of Memory: New & Old Conceptualizations of Memory, Personal or Commodity, Public or Private? I organizer: Noel E Packard, The New School Univ. Christina D Weber, North Dakota State Univ.: Negotiating Public & Private Memory through commemorative Sites William A Hayes, Gonzaga Univ.: Cyber Memorials, Netizens & Political Change: South Korean Mnemonic Practices in the Early Twenty-First Century Lois A West, Florida International Univ.: ... market research, surveys and trends

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STATISTICAL ARBITRAGE SCHOLARLY ARTICLES

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The joke resonated then, and it does today. Basically, Agent Kay was complaining about versions of a work. We’ve all been there. Your favorite old album comes out on a pristine CD with remastered digital sound, and you buy it again. That great CD gets buried in a box in your basement, virtually impossible to fish out without tearing the place apart, but iTunes has a digital download you can get now, so you buy it again. And so on. Soon, you have four versions of The White Album in your possession, each one a little different in functionality, packaging, and sonic architecture. Recently, “The Ethicist,” a column ... industry trends, business articles and survey research
Mean Reversion of Standard & Poor's 500 Index Basis Changes ...
journals and scholarly literature from around the world. ..... stocks with a total market value of $1 million or more. Since November 1989, ..... shows that while index arbitrage accounts for about 43 percent of program ..... The predicted mean reversion is merely a statistical artifact, how- ... industry trends, business articles and survey research
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Explaining Stock Returns: A Literature Survey
Feb 7, 2003 ... http://library.dfaus.com/articles/explaining_stock_returns/ ..... A few variables are bound to show a statistical relation to returns, ..... Ross, Stephen A., "The Arbitrage Theory of Capital Asset Pricing," Journal of ... technology research, surveys study and trend statistics
Technology Advisory Committee Binder
Mr. Dewaal has published numerous articles on futures and securities industry issues, ..... evaluator and referee for more than 25 peer-reviewed scholarly journals spanning ..... trading for statistical arbitrage and hedging purposes. ... technology research, surveys study and trend statistics
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Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program. Before that, he was an Assistant Professor of Mathematics at the University of Chicago and Associate Director of the Program on Financial Mathematics. Dr. Almgren holds a B.S. in Physics and Mathematics from the Massachusetts Institute of Technology, an M.S. in Applied Mathematics from Harvard ...
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QUESTIONS AND ANSWERS
What is up with turtle trading? | Ask MetaFilter
What is turtle trading? Does anyone have experience with turtle trading? Are there any scholarly articles or books that assess it? For some reason I've been drawn to turtle trading, but I get the nagging feeling that it may be no more than someone pushing chart analysis and other forms of market quackery. Have turtle traders had long-term success? I'm trying to find information on turtle trading that didn't come from turtle traders themselves, such as an academic or scholarly treatment of the trading system. Usually I abhor "lowly" chart analysis, but it seems that turtle trading has more in common with behavioral ...
Is an Efficient-market hypothesis- a True Lie ? | LinkedIn Answers ...
All science involves some degree of abstration and conceptualisation in order to create meaningful testable theories. Economics is one subject where the abstraction went to far, breaking the link totally in many cases to reality. The efficient-market hypothesis started as a useful abstraction. Information is the key driver in the valuation of assets. People act on information (if not always in the same way) because their is a economic incentive act in ways that take advantage of more accurate information i.e. you make money. These actions (buying/selling etc) affect prices. Therefore changes in a market price are a way of ...