46-936 Statistical Arbitrage

6 units, Carnegie Mellon University

This course will provide students with the basic concepts and techniques for statisticalbased trading. It will present some of the standard approaches to statistical arbitrage including market neutral strategies such a pairs trading, valuebased or contrarian methods, momentumbased strategies, cointegrationbased trading, algorithmic and highfrequency trading. The course will address how to search for statistical arbitrage strategies based on short term and longterm patterns as well as multiequity relationships. The course material will be drawn from the finance literature, and some material will be presented by professional hedge fund traders. Student will do projects that implement the statistical arbitrage concepts presented in the course.

Prerequisites: 46-923 and 46-929 and 46-921 and 46-926

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