3 ms·
A small disagreement with the article. Statistical arbitrage is a more general principle than "reliance on mean reversion" (though that is certainly a common ex
by taylorius 3y ago
A small disagreement with the article. Statistical arbitrage is a more general principle than "reliance on mean reversion" (though that is certainly a common example of statarb). It really encompasses any useful statistical prediction that can be used to trade with.
- Galanwe 3y agoWhile I agree that the article is somewhat vague and imprecise, it is not accurate to encompass all statistical predictions as statarb either. That would more be what "quantitative" is. For a strategy to be considered statistical arbitrage, it needs to be something _against_ something else. You can do purely directional statistical predictions, and that would not be statarb.
- taylorius 3y agoVery true! Though the dividing line between purely directional, and something against something else is unclear. Every price is against something else, in some sense.