Seminar 217, Risk Management: Statistical Arbitrage

Seminar 217, Risk Management: Statistical Arbitrage

Apr 26, 2018, 12:30 PM - 02:00 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: George Papanicolaou, Stanford (Speaker - Featured)
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...