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AUTOMATED TRADING SYSTEM AND METHODOLOGY FOR REALTIME IDENTIFICATION OF STATISTICAL ARBITRAGE MARKET OPPORTUNITIES
AUTOMATED TRADING SYSTEM AND METHODOLOGY FOR REALTIME IDENTIFICATION OF STATISTICAL ARBITRAGE MARKET OPPORTUNITIES
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机译:实时识别统计套利市场机会的自动交易系统和方法
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摘要
A program for identifying and automatically acting on statistical arbitrage opportunities between related equities and contracts. The present invention describes an improved technique to perform statistical-pairs arbitraging in a dynamic marketplace with less risk than prior art approaches. The present invention employs an array of recent data and performance ratios involving bid and ask prices for correlated items, such as stocks.
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