Work Flow & Risk Models

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LESSONS FROM THE COLLAPSE OF HEDGE FUND, LONG-TERM CAPITAL MANAGEMENT By David Shirreff

Banyan Capital Management, L.L.C: Global Statistical Arbitrage Fund sets out to analyze the price patterns and price differences, the strategies make use of statistical and mathematical models. Statistical arbitrage strategies can also be designed using factors such as lead/lag effects, corporate activity, short-term momentum etc. other than using the price data alone. This latter approach is referred to as a multi-factor Statistical Arbitrage model. The various concepts used by statistical arbitrage strategies include:

  • Time Series Analysis
  • AutoRegression and Co-integration
  • Volatility modeling
  • Principal Components Analysis
  • Pattern finding techniques
  • Machine learning techniques
  • Efficient frontier analysis etc.

Types of Statistical Arbitrage Strategies

The different Statistical arbitrage strategies include:

  • Market Neutral Arbitrage
  • Cross Asset Arbitrage
  • Cross Market Arbitrage
  • ETF Arbitrage

Banyan’s Effective Workflow 

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(Source: MathWorks)

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(Source: Bloomberg Professional Services, MathWorks)



Hedge Fund Risk Models

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