Statistical Arbitrage

Posted: December 20, 2009 in Uncategorized

I ran across this paper some time ago and compared to the majority of publications in the field, this presents a unique way at looking at the system in terms of principal component analysis (PCA) and co-integration.  It has long been my thoughts that the correct system optimization could be found over the PCA system rotations in a co-integration environment.

AvellanedaLeeStatArb20090616

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