Statistical Arbitrage by Andrew Pole

Author:Andrew Pole [Pole, Andrew]
Language: eng
Format: epub
Published: 2011-06-26T16:00:00+00:00

Now look at bottom panel, (c), which shows local volatility estimates from the longer window. Interesting? Once again, the analysis points to using a shorter, more local view when inferring reversion opportunity from average levels of spread volatility.

With these archetypal models, one can undertake an appropriate time-frequency analysis to precisely quantify the magnitude of reversionary moves. Real spread series are less obliging, beset with nonstationarity and “contaminating” noise.

The foregoing remarks are generally descriptive, characterizing how series variation is reflected in empirical summary statistics and indicating how the magnitude of potential gain from simple reversion plays may be estimated. Actual reversion exploitation strategies must be analyzed directly to make sensible inferences on expectations therefrom, whether in the idealized settings of noise-free sinusoidal series used here or in application to real spread histories.

Chapter 9 revisits interstock volatility in the context of the decline in statistical arbitrage performance since 2002.

Download

Copyright Disclaimer:
This site does not store any files on its server. We only index and link to content provided by other sites. Please contact the content providers to delete copyright contents if any and email us, we'll remove relevant links or contents immediately.