Course Page

Statistical Arbitrage

Course Number:

46936


Program

MSCF


Course Description

This course will provide students with the basic concepts and techniques for statistical-based trading. It will present some of the standard approaches to statistical arbitrage including market neutral strategies such a pairs trading, value-based or contrarian methods, momentum-based strategies, cointegration-based trading, algorithmic and high-frequency trading. The course will address how to search for statistical arbitrage strategies based on short term and long-term patterns as well as multi-equity relationships. The course material will be drawn from the finance literature, and some material will be presented by professional hedge fund traders. Student will do projects that implement the statistical arbitrage concepts presented in the course. Prerequisite: Probability 46-921, Statistical Inference 46-923, Statistical and Machine Learning Methods for Financial Data 46-926, Financial Time Series 46-929.

Format

Lecture: 100min/wk and Recitation: 50min/wk


Pre-requisites

None