Apr 26, 2018 12:30pm to 2:00pm
1011 Evans Hall
Happening As Scheduled
Statistical arbitrage is a collection of trading algorithms that are widely used today but can have very uneven performance, depending on their detailed implementation. I will introduce these methods and explain how the data used as trading signals are prepared so that they depend weakly on market dynamics but have adequate statistical regularity. The trading algorithm itself will be presented...
Speaker: George Papanicolaou, Stanford (Speaker - Featured)