Let's discuss academic research on mean-reverting trading strategies...

If Jim Simons, arguably the most intellectual trader/fund manager, doesn't attest to statistical arbitrage as a viable trading strategy, then who am I to go against the most renown mathematician/trader in the business...

Walt
 
Quote from the1:

I got to the second sentence and barfed. Sorry, got nothing to add :(
More...

It's okay. Don't worry. At least you could go to the results section and comment on the results. It's also a way to skim through tons of papers...
 
Quote from jones247:

If Jim Simons, arguably the most intellectual trader/fund manager, doesn't attest to statistical arbitrage as a viable trading strategy, then who am I to go against the most renown mathematician/trader in the business...

Walt
More...

Reference please!
 
If you search ET, you will see there was a lengthy thread on RTM where Maestro even participated. He stated that was the way he makes money. I have noticed that on some big directional days some of the BSD prop equity guys take big hits. Why because they are mostly likely trading RTM. That said on most days they post solid big numbers. The real question becomes what is to used as a valid mean? Some BS MA as Maestro alluded to which most use?
 
Quote from jones247:

If Jim Simons, arguably the most intellectual trader/fund manager, doesn't attest to statistical arbitrage as a viable trading strategy, then who am I to go against the most renown mathematician/trader in the business...

Walt
More...
As per Wiki:
"For over two decades, Simons' Renaissance Technologies' hedge funds, which trade in markets around the world, have employed complex mathematical models to analyze and execute trades--many of them automated. Renaissance uses computer-based models to predict price changes in easily-traded financial instruments. These models are based on analyzing as much data as can be gathered, then looking for non-random movements to make predictions."

That is stat arb by definition. Stat arb is not only stock pairs that revert to the mean.
 
You must log in or register to reply here.
Back
Top