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This talk was given by Max Margenot at the Quantopian Meetup in Santa Clara on July 17th, 2017.
To learn more about Quantopian, visit: https://www.quantopian.com.
Video work was done by Matt Fisher, http://www.precipitate.media/.
Max’s background is in applied mathematics, statistics, and quantitative finance. He runs the online lecture series at Quantopian and is responsible for workshop curriculums and educational content. In addition to having experimented with algorithmic trading of cryptocurrencies and Bayesian estimation of covariance matrices, Max has published work in theoretical mathematics. He works with top universities including Columbia, U Chicago, and Cornell and holds a MS in Mathematical Finance from Boston University.
“Basic Statistical Arbitrage: Understanding the Math Behind Pairs Trading”
In algorithmic trading, information is king. You can tease out an edge to trade on even by using only the most basic properties of time series. In this lecture, we will cover the statistics that ground the trading logic when conducting pairs trades and discuss how to find pairs.
This talk is based on the following lectures from the Quantopian Lecture Series:
• Pairs Trading
• Integration, Cointegration, and Stationarity
All lectures can be found here:
To learn more about Quantopian, visit http://www.quantopian.com.
Quantopian provides this presentation to help people write trading algorithms – it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Forex Algorithmic Trading Znga, "Basic Statistical Arbitrage: Understanding the Math Behind Pairs Trading" by Max Margenot.
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Recommended Book for Algorithmic Trading
Book by Ernest P. Chan
Praise for Algorithmic Trading “Algorithmic Trading is an insightful book on quantitative trading written by a seasoned practitioner. What sets this book apart from many others in the space is the emphasis on real examples as opposed to just theory. read more…
Originally Published: 2013
Author: Ernest P. Chan
Benefits of Automated Trading
Algo-trading provides the adhering to benefits:
Trades are carried out at the very best feasible prices.
Trade order positioning is immediate and also accurate (there is a high chance of execution at the wanted levels).
Trades are timed correctly and also instantaneously to prevent considerable cost modifications.
Decreased purchase costs.
Synchronised automated look at multiple market problems.
Decreased threat of hand-operated errors when placing professions.
Algo-trading can be backtested using available historical and also real-time data to see if it is a practical trading strategy.
Decreased the opportunity of blunders by human investors based upon psychological and also mental variables.
A lot of algo-trading today is high-frequency trading (HFT), which attempts to capitalize on placing a lot of orders at fast rates throughout multiple markets and also multiple choice parameters based upon preprogrammed guidelines.
Algo-trading is utilized in numerous kinds of trading and also financial investment activities including:
Mid- to lasting investors or buy-side companies– pension plan funds, mutual funds, insurance provider use algo-trading to acquire stocks in big quantities when they do not wish to influence supply prices with discrete, large-volume financial investments.
Short-term investors and also sell-side individuals market makers (such as brokerage homes), speculators, and also arbitrageurs take advantage of automated profession execution; in addition, algo-trading help in creating enough liquidity for vendors out there.
Methodical investors trend followers, hedge funds, or sets investors (a market-neutral trading strategy that matches a lengthy placement with a brief placement in a pair of extremely correlated tools such as two stocks, exchange-traded funds (ETFs) or currencies)– locate it far more efficient to program their trading rules and also let the program profession immediately.
Automated trading provides a more organized method to energetic trading than methods based upon trader instinct or impulse.
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