2013-2014 Undergraduate and Graduate Bulletin (with addenda) 
    
    Nov 21, 2018  
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 7121 Statistical Arbitrage

1.5 Credits
Statistical arbitrage refers to strategies that combine many relatively independent positive expected value trades so that profit, while not guaranteed, becomes very likely. This course prepares students to research and practice in this area by providing the tools and techniques to generate and evaluate individual trading strategies, combine them into a coherent portfolio, manage the resulting risks, and monitor for excess deviations from expected performance. It introduces theoretical concepts such as cointegration, risk capital allocation, proper backtesting, and factor analysis, as well as practical considerations such as data mining, automated systems, and trade execution. Programming languages such as R, Python, or C++ will be used to present applications to data at low, intermediate and high frequency.

Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department & FRE-GY 6123  and FRE-GY 6083 
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0



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