10 April 2010. Unit Testing Completed for Trading System Statistical Arbitrage Support
Unit tests of components of the CTS (quantitative analysis) server supporting statarb were finished. Components include:
- Improved data collection and pre-processing functionalilty
- Model-specific return normalizations, variances and correlation matrices
- New Principal Component Analysis (PCA) implementation to extract meaningful orthogonalizations of equity correlation matrices much larger than market data sets, rank eigenvalues and compare.PCA-multifactor return representations with competing systematic-idiosyncratic return decompositions, such as ETF
- Autoregressive AR(1) model calibration (Ornstein-Uhlenbeck) was also tested.