Extension of ETF arbitrage to Sector trading

Ramnik and I looked at the problem while trying out strategies for Interactive Broker's Algorithmic Trading Olympiad, and tried to solve the problem of linearly approximating the share of underlying stocks in a given security and performing trades based on the difference. The results were encouraging and were presented in the $1^{st}$ IIMA conference on Advanced Data Analysis, Business Analytics and Intelligence.

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musically_ut 2014-04-03