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
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 âMarket Neutralâ from all
our trades and make money from the
spread difference between the (4 Indexes) products we will trade
relative to some âFair Valueâ 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