"Basic Statistical Arbitrage: Understanding the Math Behind Pairs Trading" by Max Margenot

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: https://www.quantopian.com/lectures To learn more about Quantopian, visit http://www.quantopian.com/. Disclaimer 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.

• #science_technology
• #finance
• #quantitative_finance
• #risk
• #risk_analysis
• #math
• #statistics
• #algorithms
• #algorithmic_trading