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Trading Strategies >> Development >> Stats for arbitrage oppotunity.
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Message started by GregK on 07/18/09 at 21:11:50

Title: Stats for arbitrage oppotunity.
Post by GregK on 07/18/09 at 21:11:50

Are statistics compiled to record arbitrage? How long it lasts, it's range based on time etc.

Title: Re: Stats for arbitrage oppotunity.
Post by Algo Designer 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.

Title: Re: Stats for arbitrage oppotunity.
Post by GregK on 07/28/09 at 09:14:41

Algo Designer wrote on 07/21/09 at 10:46:00:

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.