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Stats for arbitrage oppotunity. (Read 6809 times)
GregK
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Stats for arbitrage oppotunity.
07/18/09 at 21:11:50
 
Are statistics compiled to record arbitrage? How long it lasts, it's range based on time etc.
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Algo Designer
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Re: Stats for arbitrage oppotunity.
Reply #1 - 07/21/09 at 10:46:00
 
What kind of arbitrage are you referring to: index, statistical, M&A, interest, convertibles?

The observed duration and occurrence of such opportunities will be in the context of a pricing model, risk assessment, slippage, spreads, tracking errors, etc.
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GregK
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Re: Stats for arbitrage oppotunity.
Reply #2 - 07/28/09 at 09:14:41
 
Algo Designer wrote on 07/21/09 at 10:46:00:
What kind of arbitrage are you referring to: index, statistical, M&A, interest, convertibles?

The observed duration and occurrence of such opportunities will be in the context of a pricing model, risk assessment, slippage, spreads, tracking errors, etc.


I´m actually particularly interested in statistical arbitrage, however stats on any of them would be of interest.

I should rephrase my question. Are there any places on the internet where companies make available their stats on arbitage within the context of any models they may have. Nieve question I´m sure but there is always a possibility.
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