Mathematical Trading Strategies
Video Overview & Insights
Many trading strategies are based on perceived relationships between the prices of different assets. Some of these relationships are based on fundamental relationships e.g. when oil goes up oil companies do better but transportation companies like airlines do worse. Most of the strategies based on fundamental relationships have been exploited to the point where they are no longer profitable. Using methods developed by Robert Engle and Steve Grainger (for which they received the Nobel Memorial Prize) on can find portfolios of stocks whose aggregate price is mean reverting and one can trade such a portfolio very profitable. The problem is to discover these stock portfolios and determine when these relationships end and the strategy breaks down. We describe an algorithm to search for pairs and successfully trade them. A very important part of the strategy is to determine when to exit and we discuss some possible ways to determine this point.
why does microsoft have presentation for a hedge fund strategy?
More User Perspectives
Clueless elucubrations😊of nontraders😮
@WealthHealthAndPianoExercisesThanks for sharing.
@kelechiokorieW thumbnail 🎉
@Overnight_oats2004This guy got a case of the “uhh’s”
@CaptinStockManI’d rather just go 100x leverage blind than listen to this man for one more second.
oMG could this man be any more dry
He needs to teach this to high school kids for them to determine statistic qualities and pass exam. The hell, what tell you to choose those shares and why would you want to trade.😂😂😂😂😂😂😂😂
@mokadikwasaasa8128Walker Susan Thomas William Smith Jessica
@РодионЧаускинI need a very good website where I can buy derv indicators for boom and crash
@michauxfwankenda3693Another complicated mathematical trading method, to explain som simple
@dumeetuba5304Another complicated mathematical trading method, to explain som simple
@dumeetuba5304Another complicated mathematical trading method, to explain som simple
@dumeetuba5304I see nobody learned anything from LTCM. keep playing with fire.
@SSSalihu1I see this pops up again, since I do see videos about trading. And once again, there are many many times when what I call "pointy-headed mathematicians" are so linear in their thinking that they think they can devise a trading method based on a very thin rationale. In my view, nothing will get your broke faster than basing large risk on reversion to the mean. To cut to the chase, I think this whole approach is just stupid. Who am I? A very successful trader who also loves math, but I use it in useful intelligent ways.
@KpxUrz5745The worst approach is to try not to fail because that way failing is inevitable; learn from the bible. The secret is to rebrand and repurpose all undesirables.
Mark 8:35 For whosoever will save his life shall lose it; but whosoever shall lose his life for my sake and the gospel’s, the same shall save it.
The only bible I read
1611 King James Bible
Things go up , sell.
@ABC-cw7zvGreat Lecture
@pobchubbington6759Very good lecture.👍🏾👍🏾
@Alienbass1Me who just looks for simple breaks and retests (HHs, HLs, LLs, LHs) combined with candlestick shapes following the current trend: 😗......??
@dee23gamingPairs trading seems to try to exploit hedgefunds portfolio adjustment behaviour.
@thedude579Can't say I think much of this kind of arbitrage method. There are many far better mathematical ways of augmenting trading. And there are also really robust and timely methods using technical analysis of charts. I know technical analysis sometimes is rejected those who fall for "random walk" studies as some sort of proof that markets must be random. This is utter nonsense. With enough work and patience, the exact point of turnaround in many markets can be identified. Most people crave constant trading action, but superior results can be achieved by not trading at all until the ideal patterns set up. I would never trade any form of arbitrage or "reversion to the mean" methods because those can and will fail very badly.
@KpxUrz5745Horrible editing. Show the presentation slides 95% of the time and the speaker talking 5% of the time.
@stevekuhlmey2363Where can I find this guy lectures?
@MyLeon99I cannot put his fragmented delivery into cohesive thoughts!! "Ahhh,,, ahhhh, ahhh"............. ahh, ahhh,,,. Not a personal attack,,, but how awful a presentation can you make!!!?
@curtjanus5220it is just pair trading firstly implemented in 1980s by GS. People still use that but limited. More popular is long -short portfolio to bet on divergence but mean reversion. Because mean reversion may take time and you will get bankrupt before it comes back. Math is useless. Stats is more useful
@juggernautuci8253240p? Really microsoft??
@juraganposterHello sir how are you? I have a question for you?
@ATIKURRH1999 called. They want their standard definition back.
@bmebri1well know ideas and nothing to really do with them...
@cv462-l4xthis guy doesn't have a clue.
he's using x3 standard deviation stops, while taking x1 standard deviation profits. He might think he's smart, but he has no common sense.
I wasn't financially free until my 40s and I'm still in my 40s, bought my second house already, earn on a monthly basis via my investments and got 5 out of 5 goals. Just hope it encourages someone that it doesn't matter if you don't have any of them right now. You can start TODAY regardless your age, invest and change your future. Investing in the financial market is a grand choice i made.
Great video! Thanks for sharing!
Very inspiring! Love this.
Great video
@MrEstebanEscuderoExcelent presentation and content, I am working my way into pair trading however I have heard the law of one price and competiveness make nowadays difficulty to profit from this technique, any insights?
@junal27very good video for those who have insomnia. try this :)
@rexvelos2039Good material and information for my maths project, thank you
@RenyxGhoulThanks a million for your invaluable content.. it's just wonderful
@amirmoezi8316What a brilliant man!
@trumpylaThis is good.
@odehphilip2778Merci crosoft!
@hugoc4606price is king .
@abderrahimanzare4137Better quality needed...240P come on!
@stockmaster6620Has anyone here tried it? how’d it go?
@droneltonThis is too good. Thank you Microsoft
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@sunkrrQuestions about why do we not see no noise, why isn’t seasonality arbitraged away etc forget that the statistical arbitrage process only found 4 stocks out of 125,000 stocks to build a portfolio. That means the majority of the market players are NOT cointegrated with nicely behaviours stationery prices. Secondly, Renaissance Hedge fund (see Jim Simons interview YouTube) have their own proprietary technology with high barriers to entry and many different strategies. Hedge funds with simple pairs arbitrage strategies are a tiny fish in a big pond. Even so, can you imagine the computing power required to recalibrate models everyday using minute by minute prices so you can pairs trade that same day? His explanation for why the stat arb relationship exists is interesting too and makes sense. So the amount of number crunching requires solid computing power which means stat arb pairs trading is prolly out of reach for retail traders. I really enjoyed the video.
@RaptureReady2025So, have you made any money in the stock market with this method?
@orgorg239Fuckin' trader idiots sitting there, asking stupid questions and not even able to understand a scatter plot meanwhile their job is to trade with clients' money...fucked up shit. The quant guy knows his shit, never heard of statistical arbitrage before, but it is simple and there has to be good potential in it. Will look for stocks to try this strategy out. Fuck firm trader assholes, quants for life, without us you fucking traders you would be nowhere.
@kjr413