NEW YORK Day 5 - Friday October 7 

Statistical arbitrage for equities: medium-frequency strategies

with Marco Avellaneda (Risk Awards, Quant of the Year 2010)

08:30 Registration and coffee

09.00 U.S. Equities and Exchange Traded Funds: a quant perspective

• PCA and factor analysis of large-scale correlation matrices
• Extracting factors from market correlations
• Systematic volatility, idiosyncratic volatility and their variation in time

10:30 Morning break

11:00 Exchange Traded Funds

• Exchange-traded funds (ETFs) : review
• ETFs as risk factors
• Leveraged ETFs and Volatility ETFs

12:30 Lunch

13.30 Pairs-trading, mean-reversion, cointegration

• Pairs trading: theoretical framework
• Leveraged ETFs pairs trading
• VIX ETF pairs trading
• Stock/sector ETF pairs trading

15.00 Afternoon break

15:20 Statistical Arbitrage

• Portfolio construction
• Leverage & financing considerations
• Dynamic risk-management: limiting systematic risk
• Practical considerations

16:00 Historical results via backtesting

• Late 1990's
• 2002-2007: How the subprime crisis affected statistical arbitrage
• 2008-2010: The future of medium-frequency statistical arbitrage

17.00 Q&A - opportunity for further technical questions