index arb maths

Sherman · January 16th, 2006, 4:15 pm

What kind of stat models are involved in index arb ? Is it mostly an order book modelling problem ?

crowlogic · January 16th, 2006, 6:45 pm

Interesting question, why would you think that order book modelling would be relevant? I've had thoughts about this myself, would you model the book with monotone polynomials, splines, etc?QuoteOriginally posted by: ShermanWhat kind of stat models are involved in index arb ? Is it mostly an order book modelling problem ?

Sherman · January 23rd, 2006, 9:58 am

QuoteInteresting question, why would you think that order book modelling would be relevant? Because it's a pure statistical game ? Because of the importance of execution optimization ?