Recent content by Hammy27

ok... now the thread is about LTCM :) Since I like to talk about stat-arb I post a simple graph showing a pair-strategy. If you entered the strategy when the spread is below 0.06 (exit@0) and shorted the spread when it's above 0.04 (exit@0), then you would have earned 12'808 CHF (or a...

@abdibile: I'm in the same *%&+*% situation... I probably will ask my employer if I can reduce to part-time and then take a master's class. If they refuse I would have to quit. The problem here: I wouldn't mind to study again. But I certainly will miss the cash-flows :D If you are looking...

Well, cause I liked to discuss about the strategy and not about the terminology of arbitrage. I see arbitrage as a term for an absolute or relative misspricing in the markets. In some cases it is risk free, for example if you could trade the same security at different prices on different...

hy again... I didn't wanted to start a discussion about the terminology of arbitrage. And I do not want to go deeper into the topic what stat arb exactly is... If you are interested on similar strategies, have a look at this paper: http://www.fma.org/Denver/Papers/pairetf.pdf They use...

Oh it's not arbitrage in the sense that I buy the same stock on different exchanges to generate a profit. As you said, I wouldn't have an edge! But I can do some stats on serial correlation, stationarity and so on. And cause I believe it's hard to compete on 2-stock basis I built a portfolio...

@intradaybill: 1. Trades? The Basket I trade is about 10 Stocks, so weekly repositioning = 10*52*5 = 2600 Trades. Sometimes you do not have to trade when the modell doesnt change weights. 2. I did: 2000: +18.55% 2001: +14.58% 2002: +25.24% 2003: + 13.99% 2004: -7.43% 3. theres no...

Hy there I do not really believe that (short to medium term) single stock strategy trading will be profitable in the long run (unless it's HFT). But I beliefe that you seriousy could be earn money with arbitrage. I therefore studied a few academic papers and applied/modified an existing...

I'm really interested in joining the University of London Quantitative Finance Program. Does anyone has distant learning experience? Has the program offered by the University of London a good reputation? And even it was taken online? Regards

Guys, if you want some serious insights into math-trading, check this out: http://www.youtube.com/watch?v=ed2FWNWwE3I regards