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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 …
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.
is something like this feasible through macro products? i think of USD-HKD 5y5y as a well-known example, but i wonder why i dont see such trades openly discussed in academic or in fintwit - as much as the equity based stuff.
I don’t know either! The basic idea definitely works. The universes tend to be smaller though (typically 10-30 assets rather than ~1000) so there is less scope for fancy portfolio construction and controlling common risks.
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