Recent Content by worsttraderever

  1. Any good book on Statistical Arbitrage?

    The point is that there may exist a subset of n stocks the ETF (for a total of N stocks) component which can explain let's say 90% of the ETF...
    Post by: worsttraderever, Jun 7, 2009 in forum: Strategy Building

  2. Any good book on Statistical Arbitrage?

    For the selection of stocks to trade against the etf, would it be useful to diagonalize the covariance matrix, to get most important eigenvectors?...
    Post by: worsttraderever, Jun 3, 2009 in forum: Strategy Building

  3. Any good book on Statistical Arbitrage?

    Factors analysis has nothing to do to technical analysis. Factors can be considered "factor" which are unpredictable and have influence on a...
    Post by: worsttraderever, May 27, 2009 in forum: Strategy Building

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

    I read this paper,and is basically an extension of LO strategy,which is cited, and is quite easier to understand. If you know how to automate...
    Post by: worsttraderever, May 25, 2009 in forum: Strategy Building

  5. Any good book on Statistical Arbitrage?

    Hello, and thank you very much for your post on your experience on stat arb for small investors. I have done some research and I found that...
    Post by: worsttraderever, May 25, 2009 in forum: Strategy Building