Want to partner with a Geek

Discussion in 'Trading' started by waterman33, Nov 15, 2010.

  1. Hi,

    I use the term Geek with a lot of respect. I want to begin pairs trading (stat arb). I will open / fund an account and split trading profits with a computer/math wiz.

    I am a 25 yr trading vet...but I am not a computer programmer.
    Hopefully you will have some trading background.

    I would like to look at the universe of Equity Index Futures and Commodity futures first.

    I would need you to obtain historical data from exchanges (which I will pay for) and do some correlation studies. We will also look at
    Time Series Analysis methods like PCA, ICA, Cointegration and Autoregression. Efficient Frontier Analysis and Covariance
    Matrices.

    I copy the next paragraph from a study by the Illinois Institute of Finance by Russel Wojcik: whole paper attached

    As Traders our objective is to buy the
    Index futures we think are cheap and sell
    the Index futures we think are rich. We
    want to do these trades in the correct
    ratios with respect to each other and to
    minimize our out right market exposure.
    We want to be “Market Neutral” from all
    our trades and make money from the
    spread difference between the (4 Indexes) products we will trade
    relative to some “Fair Value” Benchmark


    As I said, I will put up the cash and do the trades. You will provide me with daily (every few days) correlations and hedge ratios. We then split the profits.

    Please contact me if you are interested . Thanks