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Topic: Statistical arbitrage

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	Statistical arbitrage - Wikipedia, the free encyclopedia
		Statistical arbitrage, as opposed to (deterministic) arbitrage, is related to the statistical mispricing of one or more assets based on the expected value of these assets.
		Volatility arbitrage is a form of statistical arbitrage in which options, rather than equities, are the primary vehicle of the strategy.
		The statistical relationship on which the model is based may be spurious, or may break down due to changes in the distribution of returns on the underlying assets.
	en.wikipedia.org /wiki/Statistical_arbitrage (479 words)

	Arbitrage - T2W Traderpedia
		In economics, arbitrage is the practice of taking advantage of a state of imbalance between two (or possibly more) markets: a combination of matching deals are struck that exploit the imbalance, the profit being the difference between the market prices.
		The term "arbitrage", is usually applied only to trading in money and investment instruments (such as stocks, bonds, and other securities), not to goods.
		One way of reducing the risk is through the illegal use of inside information, and in fact risk arbitrage with regard to leveraged buyouts was associated with some of the famous financial scandals of the 1980s such as those involving Michael Milken and Ivan Boesky.
	www.trade2win.com /traderpedia/Arbitrage (1392 words)

	Arbitrage
		According to this usage, an arbitrage is a leveraged speculative transaction or portfolio.
		Arbitragers of this period were speculators who took leveraged equity positions either in anticipation of a possible takeover or to put a firm in play.
		Today, the label arbitrage is often applied to the speculative trading strategies often associated with hedge funds.
	www.riskglossary.com /articles/arbitrage.htm (823 words)

	ColombiaLink.com - ARBITRAGE - ECONOMICS
		Economists use the term "global labor arbitrage" to refer to the tendency of manufacturing jobs to flow towards whichever country has the lowest wages at present and has reached the minimum requisite level of political and economic development to support industrialization.
		Arbitrage is an important factor of reaching purchasing power parity between different currencies.
		Then there is of course road arbitrage, or lane arbitrage when drivers and shoppers switch lanes to negotiate through the traffic or through the checkout counters, in order to arrive at their destination sooner or get out of the store sooner than by remaining in the same lane.
	www.colombialink.com /01_INDEX/index_finanzas_eng/arbitrage.html (1281 words)

	Market Neutral Trading Strategy (Relative Value Strategies, Arbitrage Strategies)
		All are collectively called fixed income arbitrage and entail identifying and exploiting inconsistencies in the numerous term structures, liquidity spreads and credit spreads found in fixed income markets around the world.
		Fixed income arbitragers try to identify when historical patterns for spreads or term structure relationships have been violated and put on a long-short position in anticipation of the historical relationship being reestablished.
		Fixed income arbitrage strategies are generally implemented to be duration neutral, but they are exposed to various other market risks.
	www.riskglossary.com /articles/market_neutral_strategy.htm (1271 words)

	Arbitrage - Best-Ranks.com
		Arbitrage is the practice of taking advantage of a state of imbalance between two or more markets: a combination of matching deals are struck that capitalize upon the imbalance, the profit being the difference between the market prices.
		When used by academics, an arbitrage is a transaction that involves no negative cash flow at any probabilistic or temporal state and a positive cash flow in at least one state.
		Arbitrage is the activity of exploiting imbalances between two or more markets.
	www.best-ranks.com /arbitrage.htm (388 words)

	Hedge Fund Consistency Index, Hedge Funds Research
		In particular, we refine the notion of statistical arbitrage in order to extend the procedure for the case where dryness is random, i.e., at each point in time the asset can be transacted with a given probability...
		This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies.
		Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definition is independent of any equilibrium model and its existence is incompatible with market efficiency.
	www.hedgefund-index.com /s_statarb.asp (1876 words)

	statistical arbitrage - Ikos fund management (via CobWeb/3.1 planetlab2.isi.jhu.edu) (Site not responding. Last check: 2007-10-10)
		IKOS was established in 1992 as one of the first independent statistical arbitrage management companies in London.
		IKOS manages a suite of pure statistical arbitrage (market neutral) Equity concentrating on Japanese, European and US equity as well as Relative Value global macro econometric funds in currencies, interest rates and indices.
		The IKOS strategy is purely systematic and uses a range of fundamental and statistical models to forecast independent sources of return in different time scales (months to seconds) in a 3000 stock universe.
	www.ikosam.com.cob-web.org:8888 /se_fund_management/statistical_arbitrage.aspx (295 words)

	Benchmark Funds, Inc. -- Strategy Descriptions
		Convertible Arbitrage involves purchasing a portfolio of convertible securities, generally convertible bonds, and hedging a portion of the equity risk by selling short the underlying common stock.
		Fixed Income: Arbitrage is a market neutral hedging strategy that seeks to profit by exploiting pricing inefficiencies between related fixed income securities while neutralizing exposure to interest rate risk.
		Fixed Income Arbitrage is a generic description of a variety of strategies involving investment in fixed income instruments, and weighted in an attempt to eliminate or reduce exposure to changes in the yield curve.
	www.benchmarkfundsinc.com /strategy_descriptions.html (1723 words)

	Obie Fernandez : Weblog : Ruby on Rails and More... (Site not responding. Last check: 2007-10-10)
		Productivity Arbitrage is a strategy of statistical arbitrage which leverages innovative new technology to deliver solutions at the market price that is based on the historical price/value proposition of older, less-productive technology.
		Thus if you define 'productivity arbitrage' to be ' a strategy of statistical arbitrage' you may need to show that there is a mathematical expectation attached to a software product and that people are able to trade (precisely and mathematically) in it to set up an arbitrage opportunity.
		To me arbitrage means taking advantage of gaps in understanding between individuals (where a corporation or other entity is simply an aggregation of individuals) and so we can see other examples of arbitrage in, for instance, splogs and outsourcing.
	www.jroller.com /page/obie?entry=productivity_arbitrage (4337 words)

	Trade NQ!
		Arbitrage, in its purest form, is defined as the purchase of securities on one market for immediate resale on another market in order to profit from a price discrepancy.
		Despite the disadvantages in pure index arbitrage, statistical arbitrage is still accessible to most retail traders.
		Once two markets determined to be statistically "out of alignment", a long position is taken in the market considered to be undervalued while a short position is simultaneously taken in the market considered to be overvalued relative to the first market.
	www.trade-nq.com /arbitrage.html (1968 words)

	Trading the Odds with Arbitrage
		Risk arbitrage (or statistical arbitrage) is the second form of arbitrage that we will discuss.
		The example of risk arbitrage we saw above demonstrates takeover and merger arbitrage, and it is probably the most common type of arbitrage.
		Arbitrage is a very broad form of trading that encompasses many strategies; however, they all seek to take advantage of increased chances of success.
	www.investopedia.com /articles/trading/04/111004.asp (1437 words)

	Arbitrage - Real Time & Delayed Quotes, Charts, News and Data for Futures, Stocks, Commodities and Indexes - ...
		In economics, arbitrage is the practice of taking advantage of a state of imbalance between two (or possibly more)
		Economists use the term "global labor arbitrage" to refer to the tendency of manufacturing jobs to flow towards whichever country has the lowest wages at present and has reached the minimum requisite level of political and economic development to support
		There is also counter-party risk, that the other party to one of the deals fails to deliver as agreed; though unlikely, this hazard is serious because of the large quantities one must trade in order to make a profit on small price differences.
	www.tradesignals.com /glossary/Arbitrage (1418 words)

	Arbitrage - Wikipedia, the free encyclopedia
		Arbitrage moves different currencies toward purchasing power parity.
		For instance an arbitrageur would first buy a convertible bond, then sell fixed income securities or interest rate futures (to hedge the interest rate exposure) and buy some credit protection (to hedge the risk of credit deterioration).
		Thus LTCM failed as a fixed income arbitrage fund, but succeeded as a global macro fund (since their correct reading of the international economic environment showed that political considerations hedged the deltas they were long in their own fund).
	en.wikipedia.org /wiki/Arbitrage (3038 words)

	Tepper School of Business :: Statistical Arbitrage 46-936
		The course begins with the general principles of arbitrage pricing theory and the statistical nature of the price and volatility fluctuations in financial markets.
		Various statistical strategies will be covered, including pairs trading, cointegration-based trading, data mining, as well as strategies using the information from derivatives markets.
		At the end we stress that statistical arbitrage is not riskless, and we discuss how to assess the risk, arising from model misspecification and inappropriate estimation.
	business.tepper.cmu.edu /default.aspx?id=142315 (151 words)

	Statistical Arbitrage Strategist — Investment Bank, London Financial Jobs in London (Site not responding. Last check: 2007-10-10)
		This well known quantitative analytics team is looking for an experienced strategist with knowledge of statistical arbitrage techniques.
		This is a tactical hire as they are looking for an individual with solid knowledge of statistical arbitrage techniques as well as experience in the design of algorithmic trading systems.
		The ideal candidate will have a minimum of 2 years of statistical arbitrage research or possibly trading track record.
	www.canarywharfjobs.com /cands/jobview.asp?v=1938699 (244 words)

	Re: VaR for Statistical Arbitrage
		Either it is an arbitrage, and there is no risk, or there is risk, and it is not arbitrage.
		Calling a risky situation 'arbitrage' suggests to me that you don't fully understand / have no view on the risks.
		The non-normality and the long horizons mentioned in previous answers depend very much on the nature of your arbitrage strategies.
	www.contingencyanalysis.com /archive/archive02_3/0000041e.htm (122 words)

	statistical arbitrage Definition
		An attempt to profit from pricing inefficiencies that are identified through the use of mathematical models.
		Statistical arbitrage attempts to profit from the likelihood that prices will trend toward a historical norm.
		Unlike pure arbitrage, statistical arbitrage is not riskless.
	www.investorwords.com /5803/statistical_arbitrage.html (63 words)

	Junior Statistical Arbitrage Quantitative Analyst (£50-70k) Jobs, UK
		The group trades statistical strategies in global equity markets, with the focus on research and development in London.
		A desire to use statistical methods to analyse large datasets and understand the structure of financial markets is required.
		This represents an outstanding opportunity to learn about the practical implementation of statistical arbitrage, and to become a key resource in a profitable trading group.
	jobs.efinancialcareers.com /job-4000000000211746.htm (241 words)

	Jobs Forum
		BGI is seeking a Domestic Short Horizon Trader (high frequency statistical arbitrage) to join our Equity Trading team and assist in the implementation of an established research product.
		This analyst should have 3-5 years of experience in algorithmic, program or statistical arbitrage trading strategies or quantitative modeling/programming in support of trading strategies.
		This is an opportunity to join a highly experienced and successful statistical arbitrage group where a successful candidate can both learn and generate significant P&L. Compensation $150-650k Depending on experience.
	www.arbitrage-trading.com /ARTJobsForum.asp (2414 words)

	moneyscience.org : Arbitrage (Site not responding. Last check: 2007-10-10)
		Arbitrage is an important factor of reaching purchasing power parity?
		For example if a car purchased in America is relatively cheaper than the same car purchased in Canada, Canadians would buy their cars across the border to exploit the arbitrage condition.
		If this happens on a larger scale, the higher demand for US Dollars and the higher supply of Canadian Dollars (Canadians would have to exchange their Dollars into US Dollars) would lead to an appreciation of the US Dollar and would eventually make US cars more expensive for Canadian buyers.
	moneyscience.org /tiki/tiki-index.php?page=Arbitrage (1426 words)

	SSRN-An Intelligent Statistical Arbitrage Trading System by Nikos Thomaidis, Nick Kondakis (Site not responding. Last check: 2007-10-10)
		This paper proposes an intelligent combination of neural network theory and financial statistics for the detection of statistical arbitrage opportunities in specific pairs of stocks.
		The proposed intelligent methodology is based on a class of neural network-GARCH autoregressive models for the effective handling of the dynamics related to the statistical mispricing between relative stock prices.
		First results seem encouraging; nevertheless, further experimentation on the optimal sampling frequency, the forecasting horizon and the points of entry and exit is necessary, in order to achieve highest economic value when transaction costs are taken into account.
	papers.ssrn.com /sol3/papers.cfm?abstract_id=890234 (289 words)

	Volatility Arbitrage Program (Site not responding. Last check: 2007-10-10)
		These models provide the basis for the statistical arbitrage strategies implemented by Mr Jonathan Kinlay in the quantitative hedge fund Caissa Capital, which he founded in 2002.
		Investment Analytics is now offering a limited number of additional licenses to investment institutions wishing to extend their range of investment strategies in the volatility arbitrage asset class.
		One measure of the ability of the models, direction prediction accuracy, shows that, on average, the models enable the correct timing of the volatility market approximately 75% of the time.
	www.investment-analytics.com /volarbprogram.htm (314 words)

	WallStJobs.com : Analytic Recruiting Inc. - Statistical Arbitrage Analyst [PhD / MS Quant] - APPLY NOW! (Site not responding. Last check: 2007-10-10)
		Responsibilities will involve research and modeling to develop and trade Statistical Arbitrage and/or similar quantitative trading strategies.
		Applicant should have a graduate degree (PhD/MS) with at least one year hands on experience developing and back testing quantitative equity trading strategies such as statistical arbitrage, mean reverting, long/short, pairs, and the like.
		Strong programming skills as well as expert knowledge of statistics, econometrics and optimization techniques a must.
	www.wallstjobs.com /jobs/3301.html?ref=indeed (102 words)

	b r i e f w o r k s \| experienced litigators and corporate attorneys--practice areas
		Representing two physicists who left Renaissance to start their own statistical arbitrage fund at Millennium, Mr.
		In the absence of any evidence of misconduct, it is now clear that New York law will not prohibit former employees from working for competitors simply because they may “inevitably” disclose confidential information.
		Willens has worked with leading academic experts in statistical arbitrage and quantitative finance.
	www.briefworks.com /practice.htm (709 words)

	ABRAHAM KOHEN
		Developed statistical arbitrage models based on Arbitrage Pricing Theory (APT).
		Calculated principal components and performed statistical regressions to determine how the derived factors explain stock returns.
		Retained as consultant to a large Minnesota-based hedge fund seeking to profit from index arbitrage and to hedge its options positions using stock baskets.
	www-cs-students.stanford.edu /~akohen (293 words)

	APT - Risk Model & Portfolio Analytics Solutions for Hedge Funds
		Model design is theoretically-driven, does not rely on pre-specifying factors, is based on an objective, statistical estimation method, and therefore gives unbeatably accurate risk and volatility forecasts.
		Because APT's statistical risk models are intended to be accurate first and foremost, all model estimations are based wholly on the Arbitrage Pricing Theory, don't assume a normal distribution of market returns, and are built using only the most clean and widely-scrutinized data - giving the most accurate risk models available.
		All our software is designed to work long/short, and the long/short reports are constructed with long/short concerns in mind.
	www.apt.com /en/solutions/hedgefunds.html (694 words)

	Robust Tests of Market Efficiency using Statistical Arbitrage (via CobWeb/3.1 planetlab2.isi.jhu.edu) (Site not responding. Last check: 2007-10-10)
		We demonstrate that this empirical discrepancy results from a lack of statistical power in their Bonferroni test procedure.
		According to the Min-t statistic, conclusions regarding market efficiency are consistent across various trading profit assumptions.
		Overall, our results confirm the appropriateness of statistical arbitrage as a test of market efficiency.
	ideas.repec.org.cob-web.org:8888 /p/siu/wpaper/12-2004.html (339 words)

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