Statistical Arbitrage Skills

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Statistical Arbitrage Skills

Postby alan » Tue Nov 22, 2011 10:33 pm

Dear Mark (or anyone who knows the answer is also welcome to provide suggestions)

I am currently doing a D.Phil. at Oxford about machine learning and computational linguistics. Mainly, I apply machine learning techniques to linguistic data to solve questions like part of speech tagging, statistical machine translation. I mainly focus on variational Bayesian approximation and various sampling such as Monte Carlo, Gibb sampling etc. I would like to know if my current study can be applied to statistical arbitrage. Is statistical arbitrage heavily based on machine learning and statistical methods?

In your advice, you wrote "Statistical arbitrage quant, works on finding patterns in data to suggest automated trades. The techniques are quite different from those in derivatives pricing." I wonder if you could make a brief list about what kinds of skills in machine learning and what kinds of statistical methods are relevant to statistical arbitrage please? And what else skills, if there are?

Also, what is the relationship between statistical arbitrage and algorithmic trading please? I always hear these two terms. Many thanks. I look forward to your response.

Best regards
Alan
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Re: Statistical Arbitrage Skills

Postby mj » Wed Nov 23, 2011 2:48 am

statistical arbitrage and algorithmic trading are basically the same thing.

I don't know much about either but I'd expect that you'd have no trouble getting a job in the area.

Take a look at

http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207
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