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Stat Arb

@quant_arb


Stat Arb

@quant_arb


Non-prediction/main-model alpha (this is HUGE), let's talk about it! Topics: -Regime Shift (an extension of risk mgmt) -Position Sizing -Trade Spec...

Read 30 tweets
6 month ago

Stat Arb

@quant_arb


Feature examples were highly requested. I will do in depth reviews for many but I can’t possibly do all. So I’ll give resources for top feature exa...

Read 8 tweets
8 month ago

Stat Arb

@quant_arb


Regressions: OLS - stupid PLS - takes time into account (nice) GLS/GLSAR - considers autocorr + hetroskedasticity (sweet) Ridge - the best regu...

Read 1 tweets
8 month ago

Stat Arb

@quant_arb


Back to the quant topics: Microstructural fair value! Let's dive into it: 1/n

Read 17 tweets
8 month ago