This is a summary of links featured on Quantocracy on Monday, 01/02/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Statistical Arbitrage: Finding Correlated Stock Pairs (h/t Algotrading Reddit) [Above Index]Statistical Arbitrage , A.K.A StatArb is a pair trading strategy that invloves buying and selling a pair of stocks based on a underlying correlation between them. This correlation usually exist in a given sector or competitors, for example Pepsi (PEP) and Coca-Cola (KO) is a pretty popular pair. The logic behind the strategy is that pair stocks tend to follow one another, so when they fall outta
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“Matt s Breadth Indicator” Update [Throwing Good Money]Happy new year! Its that time again, when everyone with a blog does a wrap up of the previous year. Heres my look-back. Many of you follow along with the +/-30% per quarter wider-market breadth indicator. Which is too much of a mouthful, so Ive humbly named it after myself instead. I wanted to provide an update since Ive been tracking it for awhile. The premise is this: breadth