Statistical Arbitrage II : Simple FX Arbitrage Models

So unless you had a micro account you would have to run two mini lots for both legs. If you've never made a penny trading FX or other assets the chances of making money using arb tools, unfortunately, isn't high. Trying to understand the math behind a statistical arbitrage strategy can be overwhelming. With small accounts trading micro or mini lots it's not critical to make the legs balance. Generally the longer the timeframe the higher the profit. The popularity of the strategy continued for more than two decades and different models were created around it to capture big profits. I have not relied on papers for this approach but I know there is definitely work done in this space I myself focus almost entirely on currencies at the moment.

Nov 16,  · Very nice. Just an idea: You could perhaps do slightly better to avoid trading cointegrated pairs with a common currency. Buying audjpy and selling nzdjpy could be more elegantly executed with buying audnzd, in this way you don't have to pay the spread twice.

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DEFINITION of 'Statistical Arbitrage'

Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange? I couldn't find any. I asked this question on several forums and got no reply. Welcome To Stat Arb Trader. StatArbTrader is a sophisticated quantitative computational trading platform that harnesses the power of Statistical Arbitrage (StatArb) which evolved out of the pairs trading strategy. It can be stocks, commodities or forex trading system. Jul 01,  · This is statistical arbitrage. Arbitrage is simple. See the difference, buy this, sell the other. If you can't take decision based on current data in the front of your eyes and need sophisticated indicator, it's no longer arbitrage, it's the speculation based on indicators!!!