A Survey of High-Frequency Trading Strategies Brandon Beckhardt1, David Frankl2, Charles Lu3, and Michael Wang4 1beb619@stanford.edu 2dfrankl@stanford.edu 3charleslu@stanford.edu 4mkwang@stanford.edu June 6, 2016 Abstract We survey and implement a number of known high frequency … Medium-Frequency Trading. At it’s most basic, arbitrage is the act of buying an asset in one market and selling it in another market for a profit. The trading periods in this case might vary from a … Most of them fall under what is known as statistical arbitrage… It can only be used for medium frequency trading. Statistical arbitrage (stat‐arb) exploded on the trading scene in the 1990s, with traders reaping double‐digit returns using simple statistical phenomena. It is worth noting that statistical arbitrage does not lend itself to high-frequency trading. In this minor revision we added the results of out-of-sample tests and explanations of terms Concepts used by Statistical Arbitrage Strategies To analyze the price patterns and price differences, the strategies make use of statistical and mathematical models. It can be categorized as a medium-frequency strategy where the trading period occurs over the course of a few hours to a few days. Statistical arbitrage represents not a high, medium strategy but a medium frequency that allows trading to take place over a specified period. It begins before 1960, when there was no database widely available to conduct a statistical analysis of stock price movements. Statistical arbitrage does not accommodate high frequency trading. Instead, it is used for medium-frequency trading, with trading periods taking anywhere from a … A major finding was the heavy-tailed nature of stock returns. The ultimate objective of each strategy is to yield a higher rate of profits for the trading companies. This article surveys the evolution of stock market trading over a 60-year period. Formally the performances of medium frequency statistical arbitrage strategies are much better than the performance of their benchmarks, but they are very sensitive to the quality of trading engine and optimization software. Statistical Arbitrage Trading Strategies and High Frequency Trading Abstract Statistical arbitrage is a popular trading strategy employed by hedge funds and proprietary trading desks, built on the statistical notion of cointegration to identify profitable trading opportunities. ... Arbitrage. Statistical Arbitrage: Asset clustering, market-exposure minimization, and high-frequency explorations. Statistical arbitrage can be defined as a modified version of a pairs trading strategy. Aniket Inamdar(ainamdar@stanford.edu), Blake Jennings(bmj@stanford.edu), Bernardo Ramos(bramos@stanford.edu), Yiwen Chen(yiwen15@stanford.edu), Ben Etringer(etringer@stanford.edu) Stanford University MS&E 448, Spring 2016 Abstract Statistical arbitrage or StatArb includes such trading strategies that are driven quantitatively. This changed in the 1960s with the introduction of the Center for Research in Security Prices database. The ultimate aim of statistical arbitrage is to generate higher than normal trading profits for larger investors. Medium-frequency trading refers to trading that takes place intraday, usually within minutes to hours. Simple statistical phenomena was the heavy-tailed nature of stock price movements each strategy is to generate higher normal! … statistical arbitrage: Asset clustering, market-exposure minimization, and high-frequency explorations be used for frequency! 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