{"id":437,"date":"2021-03-10T18:00:35","date_gmt":"2021-03-10T18:00:35","guid":{"rendered":"https:\/\/jeremywhittaker.com\/?p=437"},"modified":"2021-09-22T20:59:00","modified_gmt":"2021-09-22T20:59:00","slug":"statistical-arbitrage-in-pairs-based-trading","status":"publish","type":"post","link":"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/","title":{"rendered":"Statistical Arbitrage in Pairs Based Trading"},"content":{"rendered":"\n<p>I was discussing principal component analysis and eigenvalues with a friend today. If you&#8217;re not familiar with stat arb in the pairs-based trading world this paper is a good read. <\/p>\n\n\n\n<p><\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><a href=\"https:\/\/new.jeremywhittaker.com\/wp-content\/uploads\/2021\/03\/AvellanedaLeeStatArb071108.pdf\"><img decoding=\"async\" width=\"507\" height=\"334\" data-src=\"https:\/\/new.jeremywhittaker.com\/wp-content\/uploads\/2021\/03\/image.png\" alt=\"\" class=\"wp-image-441 lazyload\" data-srcset=\"https:\/\/new.jeremywhittaker.com\/wp-content\/uploads\/2021\/03\/image.png 507w, https:\/\/new.jeremywhittaker.com\/wp-content\/uploads\/2021\/03\/image-300x198.png 300w, https:\/\/new.jeremywhittaker.com\/wp-content\/uploads\/2021\/03\/image-455x300.png 455w\" data-sizes=\"(max-width: 507px) 100vw, 507px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 507px; --smush-placeholder-aspect-ratio: 507\/334;\" \/><\/a><\/figure>\n\n\n\n<p><\/p>\n","protected":false},"excerpt":{"rendered":"<p>I was discussing principal component analysis and eigenvalues with a friend today. If you&#8217;re not familiar with stat arb in the pairs-based trading world this paper is a&#8230;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-437","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.2 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>Statistical Arbitrage in Pairs Based Trading - Jeremy Whittaker<\/title>\n<meta name=\"robots\" content=\"noindex, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Statistical Arbitrage in Pairs Based Trading - Jeremy Whittaker\" \/>\n<meta property=\"og:description\" content=\"I was discussing principal component analysis and eigenvalues with a friend today. If you&#8217;re not familiar with stat arb in the pairs-based trading world this paper is a...\" \/>\n<meta property=\"og:url\" content=\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/\" \/>\n<meta property=\"og:site_name\" content=\"Jeremy Whittaker\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/WhittakerJeremy\" \/>\n<meta property=\"article:author\" content=\"https:\/\/www.facebook.com\/WhittakerJeremy\" \/>\n<meta property=\"article:published_time\" content=\"2021-03-10T18:00:35+00:00\" \/>\n<meta property=\"article:modified_time\" content=\"2021-09-22T20:59:00+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/new.jeremywhittaker.com\/wp-content\/uploads\/2021\/03\/partial-dependency.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1029\" \/>\n\t<meta property=\"og:image:height\" content=\"568\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"author\" content=\"JeremyWhittaker\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Written by\" \/>\n\t<meta name=\"twitter:data1\" content=\"JeremyWhittaker\" \/>\n\t<meta name=\"twitter:label2\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data2\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"Article\",\"@id\":\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/#article\",\"isPartOf\":{\"@id\":\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/\"},\"author\":{\"name\":\"JeremyWhittaker\",\"@id\":\"https:\/\/new.jeremywhittaker.com\/#\/schema\/person\/ed0edfdefb3e180693efef453372980c\"},\"headline\":\"Statistical Arbitrage in Pairs Based Trading\",\"datePublished\":\"2021-03-10T18:00:35+00:00\",\"dateModified\":\"2021-09-22T20:59:00+00:00\",\"mainEntityOfPage\":{\"@id\":\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/\"},\"wordCount\":37,\"commentCount\":0,\"publisher\":{\"@id\":\"https:\/\/new.jeremywhittaker.com\/#\/schema\/person\/ed0edfdefb3e180693efef453372980c\"},\"image\":{\"@id\":\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/new.jeremywhittaker.com\/wp-content\/uploads\/2021\/03\/image.png\",\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"CommentAction\",\"name\":\"Comment\",\"target\":[\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/#respond\"]}]},{\"@type\":\"WebPage\",\"@id\":\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/\",\"url\":\"https:\/\/new.jeremywhittaker.com\/index.php\/2021\/03\/10\/statistical-arbitrage-in-pairs-based-trading\/\",\"name\":\"Statistical Arbitrage in Pairs Based Trading - 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