Low-Latency Automation of Complex Trading Strategies
Tabb has an interesting article on Stat Arb trading: Scalping, Position strategies
Scalping strategies try to profit from price inefficiencies just like arbitrage strategies do. A major difference is that in scalping strategies the instruments are not fungible. This means there is no arbitrage relation forcing the involved instruments to trade at a certain price level against each other.
Position strategies are based on statistical analysis of market prices in listed instruments
Finally, the ETF application I blogged about previous provide some nice patterns to satisfy:
The ability to run strategies on many servers makes it possible to have a large number of concurrent trading strategies active.
Interesting times.
Advertisement
[...] to Matt at lab49, I’ve found my way to Tabb. I do recommend the article he referred to on Stat [...]
RStudio, StatArb, Finance, etc. said this on March 16, 2011 at 6:04 am |