equity statistical arbitrage and quantitative trading

circumfly · June 19th, 2007, 2:59 pm

ear all, I am going to have a job interview in 2 weeks for a vacancy in equity statistical arbitrage with a hedge fund. Could anybody kindly recommend some books or articles about stat arb? This vacancy requires a huge amount of programming with Matlab. So could anyone also recommend some interview tips? Thanks very much. Kind regards, Circumfly

circumfly · June 22nd, 2007, 10:49 am

No replies????.............

joeyk · June 27th, 2007, 8:23 am

Terms to look out for: cointegration, commodity prices (ie. Jump processes) and China.

eye51 · June 28th, 2007, 10:10 am

It depends on the type of stat-arb they do. selecting out-performers or doing pair-trading / market neutral. What kind of fund is it ?If market neutral -> see remark of joeyk.For stock-picking, a general knowledge of standard econometric time-series models, multi-regression ect. Also a general knowledge of some economical indicators / fundamental ratio's might help.Do you know something on machine-learning ?