Risk Arbitrage

Discussion in 'Trading' started by sj8070, Jun 14, 2013.

  1. sj8070


    Hello All

    I currently trade a derivatives strategy that is consitently profitable in the right cirumstances.

    The situation I need:

    1. Stock has just priced in a binary event. (i.e. Takeover bid is made - will it succeed or fail?)

    2. The probablility is less than 90% percent for either outcome. (i.e. not a dead cert either way)

    3. The stock will definitely move once the outcome is realised (another way of phrasing point 2).

    4. Tradeable, public, ideally US or European stock

    Example events:
    M&A, Key earnings report, Legislation result, key product launch etc

    Anyone that can help me find these events on a <b> systematic basis </b> - so i can employ someone to run this fairly work intensive strategy - I will reveal the strategy to.

    I have a bloomberg terminal, and monitoring M&A deals has currently been my most successful avenue of trading this. But I must be missing the larger catchment of Event/Special Situation datapoints.
  2. Jgills


    i sent you a pm - i can try to help out.
  3. If you mean current events, then you need a digitalised news feed (Reuters comes to mind) and algos to read the news. It's not cheap for a retail trader, but i'm guessing you're not at retail funding level either.

    If you mean historical events, i know of one mergers database but it's only sold in PDF format or printed, back to 1990 i think ( also not a retail level price) . Not sure about other events. If you find a good digital historical source, i'd be interested too. A lot of these niche historical data services are very non-standardized and require a lot of e-mails with data providers to figure out what they're providing and in what formats, in my experience.
  4. sj8070


    I think coding an algo to read the news is overkill here.

    Also, historical M&A is of no interest - just <b> new potentially binary situations</b>
  5. toolazy


    you know... markets go up and down every day. no need for search :)
  6. If you are large enough to get coverage then a risk arb desk will give you the list. Otherwise bloomberg provides risk arb (formalized bids) and biotech events. But they won't cull what's important and what's not.

    Spec bids, litigation, etc. you are on your own or you have to pay someone to do it (via commissions or an employee)
  7. sj8070


    thanks - i'll take a look at the bloomy function you mentioned.

    I'm well aware i'll need a human to manually filter candidates, I was merely hoping to slim down the universe of stocks or news flow with a clever filter.

    For example, I started by looking at largest implied volatility changes in the last day/week but this actually doesn't capture <b> enough </b> candidates

    EDIT -> I can't actually find this bloomberg list you mentioned?
  8. cacx