Tag Info

New answers tagged

4

Well, "mean reversion trading" could mean a lot of things, I am not qualified to describe it in full generality. However, there is a simple model of mean reversion called the Ornstein Uhlenbeck process that is often seen. It has two parameters \lambda and \sigma, where lambda is the strength of the mean reversion (so one over lambda is the mean reversion ...


1

Try the Avellaneda (2009) paper. The strategy involves some mean-reverting models and some PCAs. Easy to read without getting too technical.


0

I suggest you to start reading E. P. Chan's books; here below you can find the references: Chan, Ernest P. "Quantitative Trading." New Jersey (2008). Chan, Ernest P. "Algorithmic Trading: Winning Strategies and Their Rationale" New Jersey (2013). His books are written down in a readable and simple way, so that a newbie can understand too, and, he ...


1

Start with http://en.wikipedia.org/wiki/Statistical_arbitrage and the references therein. Especially Avellaneda (technical) and Bookstaber (historical, how Bamberger and Thorp got the whole thing started).



Top 50 recent answers are included