Title: Signal processing for statistical arbitrage
Authors: Samuel Weller - Royal Holloway University of London (United Kingdom) [presenting]
Clive Cheong Took - Royal Holloway, University of London (United Kingdom)
Abstract: Statistical arbitrage (sometimes referred to as pairs trading) is a market neutral (open both a long and short position) trading strategy which creates profit from pricing inefficiencies between a pair of securities. Typically, this is done by creating mathematical models to determine the best course of action between two securities. Signal Processing and Machine Learning solutions which will be designed to analyse the relationship between a pair of given securities, and thereafter determine whether the pair of assets is worth trading or not.