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stats arb on NT


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stats arb on NT

  #21 (permalink)
 
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 vvhg 
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What about creating a synthetic pair and then arb that with its real counterpart?
Also other highly correlated instruments might be interesting...

vvhg

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  #22 (permalink)
 
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 Rikers11 
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vvhg View Post
What about creating a synthetic pair and then arb that with its real counterpart?
Also other highly correlated instruments might be interesting...

vvhg

Triangular arb is not feasible. creating something like EUR/USD = (EUR/JPY)/(USD/JPY) and then comparing it to the real EUR/USD won't give you results since the banks constantly update their market making algo with the non arb quotes across the board. Yes there exists some opportunities here and there from funds that are building a position with slow execution but it lasts only for 1 to 2 sec before it gets taken out. To much competition to make it feasible with retail commission and infrastructure...

As for correlated instruments there could be a whole book about that...

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  #23 (permalink)
 
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 wldman 
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entire crew here knocked down with a brutal cold...I'll be back on this next week. Dan

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Last Updated on November 16, 2012


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