QUSMA
Home » statistical arbitrage
IBS and Relative Value Mean Reversion

IBS and Relative Value Mean Reversion

December 19, 2012 · by admin · in QUSMA

I’m writing a paper on the IBS effect, but it’s taking a bit longer than expected so I thought I’d share some of the results in a blog post. The starting point is a paper by Levy & Lieberman: Overreaction of…

  • About
  • Papers

Search

Subscribe via RSS

Popular Posts

  • Mining for Three Day Candlestick Patterns
  • A Quick Look at Bitcoin Returns
  • Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
  • Doing the Jaffray Woodriff Thing (Kinda), Part 1
  • Portfolio Optimization Algorithm Showdown: GTAA Edition

Recent Comments

  • qusma on Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
    Posted May 01, 2013
  • sweenrose on Closing Price in Relation to the Day’s Range, and Equity Index Mean Reversion
    Posted May 01, 2013

Recent Tweets

  • Some quick numbers: what happens after SPY closes up >75bp and VIX is also up: http://t.co/uBdt3wVg7T $SPY $VIX $STUDY 5 days ago

  • The trick to passing the CFA exams is to be behind in your studies just enough so that the panic keeps you motivated, but not overwhelmed. 6 days ago

  • You can get crazy good deals pre-open some times...some poor schmuck hits MKT instead of LMT and you gifts you a ridiculous price. 1 week ago

Tags

CAC40 DAX FTSE100 CFD China cross validation CRTDR data mining DOTM equal risk contribution ETN forex GTAA HangSeng holiday effects IBS effect implied volatility mean reversion minimum correlation minimum volatility momentum MultiCharts .NET NASDAQ100 new highs new lows Nikkei225 PCA portfolio optimization QQQ relative strength risk parity Russell2000 S&P500 seasonality SPY SSECI statistical arbitrage STI swing TRASYCODRAVOPFACOM trend following UDIDSRI VIX VIXY VXV WVF XIV

Archives

  • April 2013 (2)
  • March 2013 (1)
  • January 2013 (1)
  • December 2012 (5)
  • November 2012 (3)
  • October 2012 (9)

Blogroll

  • Abnormal Returns
  • Calculated Risk
  • CSS Analytics
  • CXO
  • Empiritrage
  • Engineering Returns
  • Eric Falkenstein
  • Factset Insight
  • Gekko Quant
  • GestaltU
  • Ivanhoff Capital
  • MarketSci
  • Mebane Faber
  • Only VIX
  • Optimal Momentum
  • Overnight Edges
  • Quantifiable Edges
  • Quantified Strategies
  • RB Research
  • Sanz Prophet
  • Six Figure Investing
  • Sober Look
  • Systematic Investor
  • The Aleph
  • The Research Puzzle
  • Timely Portfolio
  • tr8dr
  • Trader Edge
  • Trading the Odds
  • Turnkey Analyst
  • VIX and More
  • Whole Street – Quants
  • Woodshedder

Copyright © 2013 QUSMA