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After reading the whole thing, the main idea feels more like "statistical arbitrage, debunked!". He does the womp-womp when he doesn't find any alpha. He even m
by nurettin 3y ago
After reading the whole thing, the main idea feels more like "statistical arbitrage, debunked!". He does the womp-womp when he doesn't find any alpha. He even mentions that the paper's author is often cited as an expert.
- Galanwe 3y agoWhat is showcased here is a dummy pair trading example on single stock vs basket. Of course it does not work anymore. There are a lot more evolved kinds of statarb though, that still work nowadays, and most likely new ones that we don't know just yet. You can change the distance function, do it fully cross sectionally, etc.
- plouffy 3y agoCan you share some links or books that you would recommend for those that want to read further ?
- Galanwe 3y agoReading articles and publications is part of the job of quantitative research, and being a judge of their quality and reproducability even more so. So, in all fair honesty with you, no I will not give you recommendations.