Statistical Arbitrage Team Leo, Ying, Yandong, Xing.

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Presentation transcript:

Statistical Arbitrage Team Leo, Ying, Yandong, Xing

Agenda Debugging Sorry to disappoint, but that’s all we did…

Data Prices regenerated using CRSP’s adjusted returns – Match Yahoo Finance prices for 5-6 randomly picked stocks – Several small consistency checks » Input from all group members Want to match the 2 ways of computing prices – Almost there…

PCA Issues Preliminary experiment – Get minimum/maximum/mean volatility – Get sum of weights in the portfolios Debug the PCA code – What are the value ranges? – Include volatility in the calculation? – Portfolio weights should always add to one

PCA Eigenvector Weight Sums

Volatility Volatility Histogram

Fig. 3 Experiment Comparison Paper’s Current Previous

With and Without dividing by Volatility With Div. Volatility Without Div. Volatility

PNL – Paper’s x Our Results Paper’s Ours

PNL – Current x Previous Results Previous Current

PNL – Paper’s x Our Results Paper’s Current Previous

Trading – Debugging Plan Debug! Add transaction costs Make sure it is market neutral Compute Sharpe ratio Display positions Debug with “deterministic” dummy ETF/stock Signals – Are they generated correctly? Merge experiments in single code base

ETFs – Action Plan We’ve started matching Stock with ETF – Using GICS as proxy Built dictionary Only part of the Stocks have GICS code – About ~1/2 of the securities – Use another proxy (NAICS/SIC)? Change Simulations to incorporate ETFs – Straightforward once the rest is working

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