Statistical Arbitrage Trading By QuantInsti – Overview
Statistical Arbitrage Trading By QuantInsti
Statistical Arbitrage Trading leverages advanced statistical concepts like co-integration and the Augmented Dickey Fuller (ADF) test to identify profitable trading opportunities. This course teaches you to build, backtest, and implement pairs trading strategies using both spreadsheets and Python, focusing on commodities market data. Statistical arbitrage remains one of the most popular and effective quantitative trading approaches.
Course Overview
You will learn to create and backtest pairs trading strategies in Python and Microsoft Excel, selecting commodity pairs best suited for the strategy. The course clarifies the difference between co-integration and correlation and guides you in analyzing co-integration test results. Paper trading allows practical strategy analysis and live market application without additional software installations.
Skills Covered
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Spreadsheet Modelling: LINEST, SUMIF, COUNTIF, Conditional Statements
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Mathematical Concepts: Correlation, Co-integration, Stationarity, Linear Regression, Augmented Dickey Fuller (ADF) Test
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Python Tools: Statsmodels, Adfuller, Matplotlib, Conditional Statements
Prerequisites
Basic financial market knowledge (buy, sell, margin) is helpful. Familiarity with Excel will aid in replicating backtesting models, and experience with Python functions and conditional statements is advantageous for coding strategies.
Syllabus Highlights
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Introduction to statistical arbitrage and its various types
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Key statistical concepts in pairs trading: mean reversion, z-score, co-integration, correlation, ADF test
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Pairs trading strategy development using Excel with linear regression functions
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Downloadable resources including e-book, Excel models, and Python code files
About Multi Commodity Exchange
The Multi Commodity Exchange of India Limited (MCX) is India’s premier commodity derivatives exchange, offering a platform for price discovery and risk management since 2003. Regulated by SEBI, MCX facilitates online commodity trading with a robust and transparent framework.
