The "big boy quant" version of pair trading
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Equity stat arb is this, done across a universe of similar assets and at scale. Good implementations - normalize for common risk (sectors, countries, factors) - look at volume as well as price - use many time horizons - include short-term fundamentals to explain big moveshttps://twitter.com/goodalexander/status/1383992798265806858 …
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There's a pretty good segment in Ed Thorp's book "A Man For All Markets" that talks about the evolution of the strategy at PNP.
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This is a good description of vol market making when you strip it down and pretty much feels like what trading meant to me...what's stale and why
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Market making in a less liquid product (holding period days to weeks rather than minutes to hours) has a lot in common with stat arb, in that it’s all about trying to supply liquidity and avoid getting run over.
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this seems very boring
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It’s certainly not as exciting as trying to find the next meme stock.
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Looking at volume became much more important after flash boys and buy side realized how dumb their execution was
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