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Statistical arbitrage (generalized pairs trading) in the U.S. stock market: Building a Java-API for high-frequency trading

Location

Stanford, CA

Principal Investigator:

Peter Woehrmann

Current Research Interests: 
My research interests are robust prediction and optimization in finance and "big data" (e.g. advertisement).

We propose a new statistical method to improve reliability of state-of-the-art methods used in research and in the industry for prediction, portfolio optimization, or risk assessment. Our information theoretic method is documented in the "Parameter-free inference", with Professor David G. Luenberger, 2012.

The impact of estimation errors of nonlinear and nonparametric methods is well put in recent publications:

"The literature is difficult to absorb....
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