Basic Statistical Arbitrage with Quantopian's Max Margenot (5.25)

BASIC STATISTICAL ARBITRAGE: Understanding the Math Behind Pairs Trading  In algorithmic trading, information is king. You can tease out an edge to trade on even by using only the most BASIC PROPERTIES OF TIME SERIES. In this lecture, we will cover the statistics that ground the trading logic when conducting pairs trades and discuss how to find pairs.This talk is based on the following lectures from the Quantopian Lecture Series: Pairs Trading 
and Integration, Cointegration, and Stationarity  PREREQUISITES: Introductory level - knowledge of algorithmic trading is needed to understand the lecture WHAT TO BRING: Anything to take notes ABOUT THE SPEAKER Max works at QUANTOPIAN AS A DATA SCIENTIST AND MANAGES THE LECTURE SERIES FOR THE ACADEMIC TEAM, coordinating content development and helping to run the company's quantitative finance workshops. Max holds a MS in Mathematical Finance from Boston University and has a strong background in statistics and computer science. He has implemented trading systems based on machine learning in the past and has published research on theoretical mathematics. What will attendees learn from this? It will teach listeners how to tease out an edge to trade - even by using only the most basic properties of time series. The lecture will help you to better understand the statistics that ground trading logic when conducting pairs trades. ABOUT OUR SPONSORS QUANTOPIAN is a crowd-sourced quantitative investment firm. We inspire talented people from around the world to write investment algorithms.  Quantopian provides capital [https://www.quantopian.com/allocation], data [https://www.quantopian.com/data], a research environment [https://www.quantopian.com/research], and a development platform [https://www.quantopian.com/algorithms] to algorithm authors (quants). We offer license agreements for algorithms that fit our investment strategy, and the licensing authors are paid based on their strategy's individual performance. We provide everything a quant needs to create a strategy and profit from it.  With over 100,000 members in more than 180 countries, that range from students to professionals, Quantopian’s community is continuing to grow every day. GALVANIZE is the premiere dynamic learning community for technology. With campuses located in booming technology sectors throughout the country, Galvanize provides a community for each the following: * _Education_ - part-time and full-time training in web development, data science, and data engineering * _Workspace_ - whether you’re a freelancer, startup, or established business, we provide beautiful spaces with a community dedicated to support your company’s growth * _Networking_ - events in the tech industry happen constantly in our campuses, ranging from popular Meetups to multi-day international conferences To learn more about Galvanize, visit galvanize.com [http://galvanize.com/].