Jumping pretty quickly from trading FX to statistical arbitrage aren't we? - funny because i never asked your advice on my learning process, and after seeing your immature attitude, dont think i ever will. The mods didn't abuse you at FF, they banned you for posting 6 straight months of verbal diarrhea. Grow up. the very people who consider themselves mature adult traders are the ones who have been spamming me and accusing me of selling systems that does not exist. Why on earth do you think i would start a scam of all on my university's school page? and what happens when i try reasoning with the mods? i get a ban and whtenn continues to send me racist, and vulgar messages. do not try to interfere in other ppl's matters especially if you were never involved in the conflict. one question i might ask is, considering you've been around trading for so long, or you claim to, you people awfully seem to spend a lot of time trolling around internet. why is that ? the money's not keeping you busy ? for me, yup im at a learning stage and have not been trading as long as you, so call me a noob or whatever it makes no difference. god forbid if you think your gaining some extra respect from the mods by openly attacking me here. your a joke.
very interesting, my finance prof was talking about this a while back and its what got me interested. so i think for arbs that last like millisecond is obviously not doable given my equipment and resources. when you are praticing "arb" on those correlated baskets, is that the reason why you hold baskets to diversify the risks somewhat ? what is your selection process like ? do you mechanically run a scan from a program that spits out correlations ? thanks!
Forget about competing with these guys. This does work for the small firm... But you have to be a talented quant with decent infrastructure. If you are not doing a LOT of scalping into and out of positions... Then you are leaving about HALF the profits on the table. There is also a multi-year learning curve with pair/basket trading. I was making a decent profit from Day One... But I also got much better between years 10 and 15. Early in my career... I would have been lucky to break even in the 2007 "subprime meltdown"... But with 15 years experience... The beautiful volatility of any market crisis... is a license to print money.
Get a better return on your college tuition and take some bloody English classes. Let's end it at that.
haha i love that! license to print money lol. im just wonderinjg what sort of tools is eveyrone using ? i was thinking of just collecting the historical datas for some instruments, like i read that nikkei and the yens have very strong correlation.
Has anyone here looked at pair trading using similar interest rate futures? For example ZN against ZF or GBL against GBM? I have been using GBL/GBM spreads as a way to manage delta more percisely on GBL options. Looking at it from at "Stat Arb" angle could give me a new look at the situation
You cannot make money as an individual attempting to do high frequency arbitrage. I worked for a couple years at a proprietary firm in Chicago that specializes in high-frequency arb (I was on the FX desk). Trades lasted less than milliseconds and we were constantly trying to be more efficient and faster to beat out the competition.
2 things: 1. Skills. You need to expose the arb. opportunity. 2. Access. Low commish and fast connection.
traded pairstrading patternrecognition with a holding period of 5 days from december 2002 to december 2004. traded a sharpe of 3 for the first three months then went flat - literally flat in the low vola that became the dominant theme. papertraded a balance sheet factor model on sp1500 stocks. used bloomberg as balance sheet data feed but that data was so crappy that we never went live. would not do that without compustat as a datafeed. lowest time frame here at the moment is 5min data. i still hesitate to go below. at this level slippage is manageable, below everything gets toughrough, requiring at least one dedicated person for infrastructure maintenance ... better two ... and no fools ...
i guess i would not believe how cheap the big shops are trading. probably somewhere almost for free if they provide sufficient volume and liquidity ...