HF Stat-arb
Posted: July 1st, 2010, 9:45 pm
Hello,Can anyone suggest a good resource for information about the inner workings of high-frequency stat arb for equities? I'm sure these are closely guarded secrets, but I'm hoping to learn more about passive vs. active strategies. There is some limited info in this presentation from Tradeworx (http://www.tradeworx.com/TWX-SEC-2010.pdf), but I've had a hard time finding much else.For instance, in a passive stat arb strategy, do arbitrageurs post a bid using sub-penny increments to the NBB? Thanks for any help.