News

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.