Statistical arbitrage
Algorithmic Trading: Winning Strategies and Their Rationale
Hands-on mean-reversion and momentum strategies with honest backtesting caveats. A gentle on-ramp to stat arb.
Pairs Trading: Performance of a Relative-Value Arbitrage Rule
The distance method: match stocks by normalised price paths, trade two-sigma divergences. The baseline every pairs paper compares against.
Pairs trading
Models the spread as a mean-reverting process observed with noise and estimates it with a Kalman filter.
Statistical arbitrage in the US equities market
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.
Analytic solutions for optimal statistical arbitrage trading
Closed-form optimal entry and exit thresholds for trading an OU spread with transaction costs.
Statistical arbitrage pairs trading strategies: Review and outlook
Maps the pairs-trading literature into distance, cointegration, time-series, stochastic-control and other approaches, with strengths and weaknesses of each.
What happened to the quants in August 2007? Evidence from factors and transactions data
A simple contrarian strategy lost heavily in August 2007 as crowded quant books deleveraged at once. Required reading on crowding risk.
Deep Learning Statistical Arbitrage
Builds residual portfolios, extracts mean-reversion signals with a CNN-transformer and optimises allocation end to end.