Advanced Pairs Trading: Intro to the Copula Approach

Join our reading group! https://hudsonthames.org/reading-group/ The concept of copula has been widely used in risk management and CDO pricing since the 90s. However, applications for capturing pairs trading arbitrage is relatively novel. For this talk, we will go through the basic concepts of copula for a pairs trading application, underlying assumptions, trading signal generation, and some common fallacies. We will cover two commonly adopted approaches: using prices series and returns series. Go-to-market faster than ever with ArbitrageLab, a python library that provides institutional-grade pairs trading algorithms to traders. * Presentation: https://docs.google.com/presentation/d/19xUNdddCsdXg2KizcUMVvdjhTnA8Cuq293brXB8rSWM/edit * Copula for Pairs Trading: A Detailed, But Practical Introduction: https://hudsonthames.org/copula-for-pairs-trading-introduction/