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System and method for analyzing data associated with statistical arbitrage

  • US 8,688,558 B2
  • Filed: 04/04/2011
  • Issued: 04/01/2014
  • Est. Priority Date: 10/30/2006
  • Status: Active Grant
First Claim
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1. A method for identifying trades for a statistical arbitrage program, comprising:

  • determining, by at least one processor, a first relative performance of a stock pair at a current time;

    determining, by the at least one processor, a historical time during which the stock pair reverts to an expected relative performance according to a cyclic performance between the stock pair;

    determining, by the at least one processor, a second relative performance of the stock pair based on the historical time;

    calculating, by the at least one processor, a deviation in the first relative performance and the second relative performance;

    repeating the determining and the calculating for each stock pair of a plurality of stock pairs;

    calculating a volume of shares to trade based on the calculated deviation; and

    initiating a number of trades of a stock comprising one of the stocks of the plurality of stock pairs based on the calculated volume of shares and one or more of a weighting factor and a deviation curve function.

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