Specialist track, course code SA
Statistical Arbitrage and Medium-Frequency Trading
Mean reversion trading over hours to weeks: pairs, baskets, cointegration and the risk of spreads that stop converging.
Medium-frequency trading holds positions for hours to weeks. It is fast enough that transaction costs dominate the result and slow enough that risk accumulates overnight. Statistical arbitrage is its classic form of mean reversion trading: buy what is cheap relative to something similar, sell what is dear, and wait for the gap to close.
What does the statistical arbitrage track cover?
Statistical Arbitrage, Pairs Trading and Cointegration is one course that covers the whole method: residual returns, factor-neutral portfolios and signal decay; pair selection, spread construction, entry and exit rules and the half-life of mean reversion; and the Engle-Granger and Johansen procedures, with what to do when a relationship breaks.
Where does this track lead?
To the Certificate in Statistical Arbitrage, which adds time series analysis, backtesting validation and execution costs to the spread-trading course and ends in a capstone strategy tested out of sample.
Practitioner courses in this track
Lab-based courses. You build, test and cost real strategies and systems on market data.
Credentials that use this track
- Certificate in Algorithmic TradingSeven courses and a capstone that take a strategy from idea to a costed, sized and validated system, traded on paper and reported the way a trading desk would read it.
- Certificate in High-Frequency Trading and Market MicrostructureFour courses and a capstone on how orders meet: the limit order book, execution algorithms and their costs, venue routing, market making and the C++ systems that run them.
- Certificate in Statistical ArbitrageSeven courses and a capstone on market-neutral trading: time series foundations, pairs and baskets, cointegration, regimes, costs and the validation that keeps spread strategies honest.
- Professional Diploma in Algorithmic TradingThe top credential on the practitioner path. Twenty-one courses and an 80-hour capstone covering everything between the mathematics and a book you could defend to a risk committee.
Questions applicants ask
What is the difference between pairs trading and statistical arbitrage?
Pairs trading bets on the spread between two related securities. Statistical arbitrage generalizes the idea to many securities at once, usually with factor models and portfolio-level risk control.
Does statistical arbitrage still work?
Simple pairs on liquid stocks have been heavily traded since the 1990s and their returns have fallen. The courses teach the method, how crowding erodes it, and how to test whether a spread still pays after costs.