Ernie Chan claims that statistical arbitrage is better than momentum like trend

Discussion in 'Strategy Building' started by GloriaBrown, Aug 2, 2013.

  1. What pair do you guy trade and why?
     
    #111     Jul 31, 2015
  2. This is not true. A win of a monentum user just means a lose for another momentum user bid on another side.
     
    #112     Jul 31, 2015
  3. Sergio77

    Sergio77

    All momentum traders use the same simple models.
     
    #113     Aug 2, 2015
  4. I never see investment bank hires people only know simple models to trade or create strategies, math/physics phd is like basic requirement.
     
    #114     Aug 2, 2015
  5. Sergio77

    Sergio77

    Because you do not know what they do. Investment banks create financial products and the math is needed for pricing/hedging/arbitrage. Funds trade systems and in most cases the algos are as simple as a moving average crossover.
     
    #115     Aug 3, 2015
  6. #116     Sep 7, 2015
  7. bone

    bone

    As the previous poster mentioned, your link describes an IB creating a financial product - namely, they are monetizing their relationships with top traders who go out start up their own funds. Furthermore, there is no mention that per your premise in your original post these traders were stat arb types.
     
    #117     Sep 8, 2015
  8. I just want to point out there are serious traders in FI and their algos are NOT "as simple as a moving average crossover."
     
    #118     Sep 9, 2015
  9. bone

    bone

    Point taken. In return, I just wanted to point out that the stat arb space has been crowded to the hilt for years now - and given the ECN and computing infrastructure requirements ($$$$$) stat arb is probably not a reasonable endeavor for the vast majority of individual speculators and ET Member types. Just my two cents.
     
    #119     Sep 9, 2015
  10. I think for stat arb, it requires at least two products to have similar 80% or higher movements, which is actually pretty hard to find in the world, then for very few things that have that relationship, all main market players heavily invest in it then make the stat arb winning chance almost impossible for any retail player with retail level money, analysis, and hardware. On the other hand, moment trade still happens all the time and even with less money, analysis, and hardware work but have to have much better risk control then stat arb.
     
    #120     Sep 9, 2015