Introduction Into Statistical Arbitrage

Strange · Post by **Strange** » Wed Jun 15, 2011 11:32 pm

Is there a good introductory book on the subject, something akin to filthys book on vol? I've looked at the usual suspects and, from the looks of it, there were two types of books:

(a) "you can do it too" for retail traders written by some pseudo-expert

(b) using "blah-blah" for trading X written by some professor

What I am looking for is something that would give a quick overview of things people do, a little bit about the statistical methods used, a fair amount on the performance measurement and backtesting, as well as strategy design.

doobs · Post by **doobs** » Thu Jun 16, 2011 12:01 am

I read the following two books and they are decent

-Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical

-Expert Trading Systems: Modeling Financial Markets with Kernel Regression

Systrader · Post by **Systrader** » Thu Jun 16, 2011 3:21 pm

I would also recommend "Trading & Exchanges" by Larry Harris.

hedgeQuant · Post by **hedgeQuant** » Sat Jun 18, 2011 5:02 pm

I would add to the mix:

Pairs Trading

By G. Vidyamurthy

Agreed it focuses only on pairs but the insights are very useful.