Alternative Data For Trading — Statistical Arbitrage

Data Quality Checks

  • The rolling mean of last 5–20 data points.
  • The standard deviation of the last 5–20 data points.
  • We create a couple of lower and upper barriers using 6 sigmas as the threshold.
  • Flag any points lying beyond the six sigma from the average.

Efficacy Check

Conclusion

Startups & Analytics

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Abhinav Unnam

Abhinav Unnam

Startups & Analytics

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