Basic Statistical Arbitrage: Understanding the Math Behind Pairs Trading
In algorithmic trading, information is king. You can tease out an edge to trade on even by using only the most basic properties of time series. In this lecture, we will cover the statistics that ground the trading logic when conducting pairs trades and discuss how to find pairs.
This talk is based on the following lectures from the Quantopian Lecture Series: Pairs Trading and Integration, Cointegration, and Stationarity
Prerequisites:
Introductory level - knowledge of algorithmic trading is needed to understand the lecture
What to bring:
Anything to take notes
About the Speaker
Max works at Quantopian as a data scientist and manages the lecture series for the academic team, coordinating content development and helping to run the company's quantitative finance workshops. Max holds a MS in Mathematical Finance from Boston University and has a strong background in statistics and computer science. He has implemented trading systems based on machine learning in the past and has published research on theoretical mathematics.
What will attendees learn from this?
It will teach listeners how to tease out an edge to trade - even by using only the most basic properties of time series. The lecture will help you to better understand the statistics that ground trading logic when conducting pairs trades.
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