Statistical Arbitrage
Professor: John Lehoczky
Department: Statistics
Course Number: 46936
Description: This course will provide students with the basic concepts and techniques for statistical-based trading. It will present some of the standard approaches to statistical arbitrage including market neutral strategies such a pairs trading, value-based or contrarian methods, momentum-based strategies, cointegration-based trading, algorithmic and high-frequency trading. The course will address how to search for statistical arbitrage strategies based on short term and long-term patterns as well as multi-equity relationships. The course material will be drawn from the finance literature, and some material will be presented by professional hedge fund traders. Student will do projects that implement the statistical arbitrage concepts presented in the course.
Prerequisites: 46921, 46923, 46926, 46929
Pittsburgh Location
Tepper School of Business
Carnegie Mellon University
Pittsburgh, PA 15213
Office: (412) 268-3629
New York City Location
Carnegie Mellon University
55 Broad Street, 5th Floor
New York, NY 10004
Office: (412) 268-8446
MSCF Admissions
Carnegie Mellon University
Pittsburgh, PA 15213
Phone: (412) 268-3679
mscf-admissions@andrew.cmu.edu