I havenât noticed any discernable changes in the stat arb space this year. I have heard that more hedge funds are returning to this type of trading, but due to my smaller scale and diversification across many pairs and baskets I can be a lot more nimble than them and hence still extract an edge.
Intra-day is where I have a noticeable edge so I donât want to give too much away suffice to say anything I do is really an extension of prices getting out of whack. This will be caused by volume and news events. Plot some cointegrated intra-day pair ticks and notice what happens. Also stat arb doesnât mean you always have to go long/short â you can just do one to âcatch upâ to your index or basket. Finally, some stocks have wider day ranges compared to their overnight ranges â Gummy has something on that which was a great insight for me.
Iâm not sure of the protocol for linking to another discussion forum (as opposed to a file website) but have a look at Wilmott. Search for âpairs tradingâ in the 2005/06 posts, thereâs some good intra-day ideas there. Thatâs part of where I got my start. Also search there for a PhD thesis by a guy called Burgess. Itâs no longer on his personal site but it is still posted to the forum itself. Its 370 pages but worth the read.
As for gummy taking down his site. It says it on the front page of his site that he wants to get back to writing and painting. This all happened suddenly when he came back from his recent Caribbean cruise. Itâs a real pity but you have to respect his decision â he did it for 10 years without any pay. I for one owe him a great debt of gratitude.
Intra-day is where I have a noticeable edge so I donât want to give too much away suffice to say anything I do is really an extension of prices getting out of whack. This will be caused by volume and news events. Plot some cointegrated intra-day pair ticks and notice what happens. Also stat arb doesnât mean you always have to go long/short â you can just do one to âcatch upâ to your index or basket. Finally, some stocks have wider day ranges compared to their overnight ranges â Gummy has something on that which was a great insight for me.
Iâm not sure of the protocol for linking to another discussion forum (as opposed to a file website) but have a look at Wilmott. Search for âpairs tradingâ in the 2005/06 posts, thereâs some good intra-day ideas there. Thatâs part of where I got my start. Also search there for a PhD thesis by a guy called Burgess. Itâs no longer on his personal site but it is still posted to the forum itself. Its 370 pages but worth the read.
As for gummy taking down his site. It says it on the front page of his site that he wants to get back to writing and painting. This all happened suddenly when he came back from his recent Caribbean cruise. Itâs a real pity but you have to respect his decision â he did it for 10 years without any pay. I for one owe him a great debt of gratitude.
