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Statistical Arbitrage Team

Statistical Arbitrage Team. Leo, Ying, Yandong , Xing. Agenda. Debugging Sorry to disappoint, but that’s all we did…. Data. Prices regenerated using CRSP’s adjusted returns Match Yahoo Finance prices for 5-6 randomly picked stocks Several small consistency checks

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Statistical Arbitrage Team

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  1. Statistical Arbitrage Team Leo, Ying, Yandong, Xing

  2. Agenda • Debugging Sorry to disappoint, but that’s all we did…

  3. Data • Prices regenerated using CRSP’s adjusted returns • Match Yahoo Finance prices for 5-6 randomly picked stocks • Several small consistency checks • Input from all group members • Want to match the 2 ways of computing prices • Almost there…

  4. PCA Issues • Preliminary experiment • Get minimum/maximum/mean volatility • Get sum of weights in the portfolios • Debug the PCA code • What are the value ranges? • Include volatility in the calculation? • Portfolio weights should always add to one

  5. PCA Eigenvector Weight Sums

  6. Volatility Volatility Histogram

  7. Fig. 3 Experiment Comparison Paper’s Current Previous

  8. With and Without dividing by Volatility Without Div. Volatility With Div. Volatility

  9. PNL – Paper’s x Our Results Paper’s Ours

  10. PNL – Current x Previous Results Previous Current

  11. PNL – Paper’s x Our Results Paper’s Current Previous

  12. Trading – Debugging Plan • Debug! • Add transaction costs • Make sure it is market neutral • Compute Sharpe ratio • Display positions • Debug with “deterministic” dummy ETF/stock • Signals • Are they generated correctly? • Merge experiments in single code base

  13. ETFs – Action Plan • We’ve started matching Stock with ETF • Using GICS as proxy • Built dictionary • Only part of the Stocks have GICS code • About ~1/2 of the securities • Use another proxy (NAICS/SIC)? • Change Simulations to incorporate ETFs • Straightforward once the rest is working

  14. Suggestions?

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