Statistical arbitration - page 8

[transcendreamer]

СанСаныч Фоменко:
Where should cointegration go? I think they gave a Nobel for it...

hehe

[...]

Necroposters can play around with the pseudo stationarity in the attache :)

It takes a lot of money to maintain stationarity, and it won't be much different from martin ...

The vertical line is OOS.

[Дмитрий]

Andy Sanders:
Necroposters can play around with the pseudo stationarity in the attache :)

It takes a lot of money to maintain stationarity and it won't be much different from martin ...

The vertical line is OOS

How does this nonsense relate to statistical arbitrage?

[ivanivan_11]

Дмитрий:

How does this nonsense relate to statistical arbitrage?

I guess the above attachment is a pseudo-stationary series for which the statistics are already in place.

and actually you should start from here at least.

https://www.mql5.com/ru/articles/2646

If you have something more than emotional - nonsense, then tell me. so far, it's just words... words

[Дмитрий]

ivanivan_11:

I guess that the above attachment, the PCA counts a pseudo-stationary series, for which the statistics are already in effect.

In fact, you should at least start here.

https://www.mql5.com/ru/articles/2646

If you have something more than emotional - nonsense, then tell me. so far, it's just words... words

Ah, I get it! The afftar of the post read the word "statistical" in the term statistical arbitrage and thought that if stationarity is a statistical term, then all games around it automatically refer to statistical arbitrage....

[ivanivan_11]

that's how he calculated it. and that's how everyone else calculated it too.)))

As a trading strategy, statistical arbitrage is a heavily quantitative and computational approach to equity trading. It involves data mining and statistical methods, as well as automated trading systems.

https://en.wikipedia.org/wiki/Statistical_arbitrage

[[Deleted]]

СанСаныч Фоменко:
Where should cointegration go? It's a Nobel Prize winner, isn't it?

Hasn't it been placed on the Moscow Exchange with your academic knowledge of econometrics?

[TheXpert]

Ром:
Hasn't it been placed on the stock exchange with your academic knowledge of econometrics?

All simple cases are snapped up by hard hfts, and complex cases need something more academic knowledge.

[[Deleted]]

Комбинатор:
All simple cases are snapped up by the hardcore hftschilds, and complex ones need something more academic.

I, as a staunch ass-kisser, think that the problem of hardened academics is their desire to find a beautiful, elegant, universal solution to any problem and nothing but that.

[ivanivan_11]

in general, initially, statistical arbitrage was a rather thought-provoking strategy.

i can't help but wonder what i should do? where should i put it?

StatisticalArbitrage: High Frequency Pairs Trading

Statistical Arbitrage in High Frequency Trading Based on Limit Order Book Dynamics

etc.