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While statistical arbitrage has faced some tough times—as markets experienced dramatic changes in dynamics beginning in —recent developments in algorithmic trading have fueled the resurgence of this discipline. With new, sustained patterns of stock price dynamics emerging and some old patterns regaining potency, there are plenty of profitable opportunities available for the shrewd statistical arbitrageur. Based on the results of author Andrew Pole's own research and extensive experience running a statistical arbitrage hedge fund—in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading—Statistical Arbitrage provides you with comprehensive coverage of this proven investment approach.

Through real-life examples and detailed discussions, this unique guide presents you with a critical analysis of what statistical arbitrage is and how it has been historically practiced; a formal theoretical underpinning for the existence of opportunities and quantification thereof; and an extensive explanation of the enormous shifts in the structure of the U.

Statistical Arbitrage Algorithmic Trading Insights and Techniques

Page by page, you'll become familiar with the nuances of modern statistical arbitrage and discover the algorithmic trading techniques you need to succeed in today's markets. Created with the serious financial professional in mind, this well-written resource:. Outlines formal statistical models for more general portfolios—several popular models for time series are described, from basic weighted moving averages to dynamic factor analysis. Addresses important questions for quantifying the magnitude of exploitable opportunities in reversion gambits.

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Characterizes the problems that beset statistical arbitrage in and directly caused its catastrophic drop in returns from to Reveals how statistical arbitrage has rebounded through technological developments in algorithmic trading. Filled with innovative information and expert advice, Statistical Arbitrage contains essential analysis that will appeal to individuals looking for an overview of this discipline, and to institutional investors looking for critical insights into modeling, risk management, and implementation of this important strategy.


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  4. ISBN 13: 9780470138441.

Anyone with an interest—professional or otherwise—in what goes on inside the black boxes of mathematical trading strategies will enjoy the book. Andy Pole provides a remarkable look at the history and evolution of what is frequently considered to be the most opaque of the myriad hedge fund strategies. His detailed focus on and clever examples of the underlying drivers of stat arb are an invaluable resource for anyone investigating the strategy for the first time.

Even we old-timers will learn something. Using real-life examples and accounts from his decades of experience, this book chronicles the rise in popularity of stat arb, explains its recent struggle for profitability, as well as provides novices with insights into the art and science of building their own models.

Wiley-VCH - Statistical Arbitrage

The book provides an excellent balance conceptualizing the mathematics of short-term technical trading strategies with more practical discussions on the recent performance of such strategies. Statistical arbitrage remains for many outsiders, including hedge fund professionals, a 'black box' strategy. Andy Pole has managed to turn black into, if not white, then a lighter shade of gray.

This book is therefore highly recommended for those looking to master the subject matter. Convert currency. Add to Basket.

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Statistical Arbitrage Algorithmic Trading Insights by Pole Andrew

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