Statistical Arbitrage

Lecture / Panel
For NYU Community

You are cordially invited to attend the FRE Lecture.

Our invited guest is Dr. George C. Papanicolaou, Robert Grimmett Professor in Mathematics at Stanford University who will present a lecture on the following topic:

Statistical Arbitrage

Statistical arbitrage is a collection of trading algorithms that are  widely used today but can have very uneven performance, depending on their detailed implementation. I will introduce these methods and explain how the data used as trading signals are prepared so that they depend weakly on market dynamics but have adequate statistical regularity. The trading algorithm itself will be presented and then a well calibrated version of it will be used on daily SP500 data from the last fifteen years.  It emerges from this study of statistical arbitrage algorithms that when tested with real data they can produce strong and steady returns that are essentially decoupled from overall market behavior. (Joint work with J. Yeo.)

George C. Papanicolaou is currently the Robert Grimmett Professor in Mathematics at Stanford University. Besides his former focus on the analysis of waves and diffusion in inhomogeneous or random media, his recent research interests are in the analysis of imaging systems and also in financial mathematics. He is a Fellow of the American Academy of Arts and Sciences and a member of the U.S. National Academy of Sciences.

We look forward to seeing you there. Refreshments will be served.