Talk:Statistical arbitrage

Self-promotion
"Some major French banks such as Societe Generale or BNP Paribas, formerly very succesful in Europe are now trying to gain new market shares in the US."


 * What does this recently added sentence have to do with statistical arbitrage? It seems like just a random statement.  I'll wait a day or so for a response before reverting.  capitalist 02:38, 17 May 2006 (UTC)


 * I agree, kinda of a useless self-promotion. Probably written by a BNP employee. --194.128.155.33 15:52, 8 August 2006 (UTC)

Market turmoil
Any interest in describing the recent (early August) turmoil that a lot of stat arb (and quant strategies in general) are undergoing? 69.74.34.174 19:59, 10 August 2007 (UTC)

Quant fund breakdown of July 2007
Many of the statistical arbitrage models became substantially broken during the height of the sub-prime debacle (assuming for now that the worst is indeed behind us). I can think it would be a very useful section. There were at least a couple of articles on it in the WSJ, so sourcing shouldn't be an issue. Is there a consensus to add this section or would this be WP:RECENTISM? Ronnotel 04:20, 20 September 2007 (UTC)


 * I made a first stab at it, using the A. Lo article. Feel free to add to it, perhaps with more specific examples. Encyclops 15:37, 27 October 2007 (UTC)

Extreme psychological barriers?
Where does the mention of "extreme psychological barriers" come from? It does not appear in the financial literature AFAIK and is unknown to industry people that I talk to. Googling this expression gives no useful clues. If you wrote this, please explain what you had in mind. Encyclops 15:37, 27 October 2007 (UTC)

Comments please, possible merge with Currency correlation
A debate is in progress about what to do with article Currency correlation and one of the proposals is to merge it into either Currency pair, Technical analysis, Exchange rate or Statistical arbitrage. We'd appreciate any suggestions of where the best place for it is. To keep the conversation in one place, please respond in Talk:Currency_correlation. Thanks -- John (Daytona2 · talk) 11:29, 13 December 2007 (UTC)


 * Thanks for the comments, I've requested a deletion review - Deletion_review -- John (Daytona2 · talk) 18:17, 18 December 2007 (UTC)

Expected value
Expected value is the sum of the probability weighted returns, not the difference. The following statement from the article:

"However, in the statistical sense, there is an expected value of $1×50% − $0.50×50% = $0.25 for each flip."

should read:

"However, in the statistical sense, there is an expected value of $1×50% + $0.50×50% = $0.75 for each flip." —Preceding unsigned comment added by Paratracker (talk • contribs) 23:15, 23 September 2008 (UTC)


 * The example (which I did not write and actually don't like very much) says "collects $1 on heads or pays $0.50 on tails". Since paying 0.5 is the same as collecting -0.5, computing the expectation on [1.0 -0.5] is correct. One cash flow is positive, the other is negative. Encyclops (talk) 22:53, 26 September 2008 (UTC)

Image please?
Can an image be added to this article to clarify something and make it less dense? for I'm not of the typical audience who would try to read this. 68.173.113.106 (talk) 01:56, 13 June 2012 (UTC)