Statistical Arbitrage – Algorithmic Trading Insights and Techniques : [PDF Download]

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“The value of thinking about a formal forecast function is that it gives a specific set of values to compare to realizations and thereby to judge the efficacy of model projections.

Mark to market losses on a trade will indicate the presence of a potential problem; the pattern of forecast–outcome discrepancies provides information on the possible nature of the problem.

Such information admits a richer set of responses to loss situations than a blunt stop loss rule such as a simple percentage loss. In this chapter, we will consider a few of the structurally simplest classical models for time series data.

One or two non–time-seriesmodel architectures will also be described illustrating somewhat more involved modeling of stock price data.”

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