Please Suggest Good Published Research Papers, Blogs, Strategies on Statsitcal Arbitrage

[rs2000]

Hi All,

Please can you suggest some good research papers, blogs, trading strategies for statistical arbitrage i..e momentum, mean reversion, and other stragies used for pair trading.

I am aware that there is no one source that will publish their great ideas to public. I am more looking for starter ideas that I can refine or that can help me brainstorm.

thanks a lot!

 

[Martinghoul]

How 'bout this?
http://epchan.blogspot.com/

He has written a book, as well...

 

[rs2000]

yes i am reading his book currently. thanks.
i will check the blog too. pls keep the good suggestions coming

 

[Metamega]

Quantocracy.com had an interesting mash up of blogs and papers they update all the time. Not sure how stuff gets in there but I browse it frequently and have found some people to follow/read more.

 

[rs2000]

thanks! yes it looks quite good. lots of new blogs etc to explore

 

[rs2000]

Hi All

I was wondering if you have come across some good research papers/ideas on using fundamental ratios/analysis for Alphas. I know a lot of ratios but was looking for some empirical research on which ones work etc.

If you have come across something recently, pls let me know. especially fundamentals prior to or around earning announcements....

thanks a lot!