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

Discussion in 'Strategy Development' started by mizhael, May 24, 2009.

  1. the1


    I got to the second sentence and barfed. Sorry, got nothing to add :(
  2. If Jim Simons, arguably the most intellectual trader/fund manager, doesn't attest to statistical arbitrage as a viable trading strategy, then who am I to go against the most renown mathematician/trader in the business...

  3. It's okay. Don't worry. At least you could go to the results section and comment on the results. It's also a way to skim through tons of papers...
  4. Reference please!
  5. That is one hell of a lot of math to reach the same curve-fitting destination routinely seen on this board...
  6. If you search ET, you will see there was a lengthy thread on RTM where Maestro even participated. He stated that was the way he makes money. I have noticed that on some big directional days some of the BSD prop equity guys take big hits. Why because they are mostly likely trading RTM. That said on most days they post solid big numbers. The real question becomes what is to used as a valid mean? Some BS MA as Maestro alluded to which most use?
  7. As per Wiki:
    "For over two decades, Simons' Renaissance Technologies' hedge funds, which trade in markets around the world, have employed complex mathematical models to analyze and execute trades--many of them automated. Renaissance uses computer-based models to predict price changes in easily-traded financial instruments. These models are based on analyzing as much data as can be gathered, then looking for non-random movements to make predictions."

    That is stat arb by definition. Stat arb is not only stock pairs that revert to the mean.
  8. I stand corrected...
  9. ronblack


    Mean is a random variable. It always changes, randomly that is. Don't try to chase random variables. Try to chase momentum.
    #10     May 25, 2009