Statistical arbitrage in the US equities market
IntermediateIntradayLFTEmpiricalFree to readTestable with your data
Model each stock's residual against PCA factors or sector ETFs as a mean-reverting (OU) process and trade on s-scores. A blueprint for factor-neutral mean reversion.
At a glance
- Level
- Intermediate: Comfortable with statistics, regressions and basic probability models
- Horizon
- Intraday, LFT
- Data needed
- Daily bars Set what data you have
- Themes
- Stat arb
- Assets
- Equities
- Market
- US