JBT platform, as it stands now, does not directly have arbitrage possibilities. JArbitrager does, but it has a few bugs and seems a bit abandoned. I am working on porting some JArbitrager functionality back into JBookTrader, so that it can do arbitrage in addition to its existing strategies.
As far as mathematics are concerned, there are different types of arbitrage, - each with its own mathematics. Some examples: "cash and carry", dividend arbitrage, ETF or closed end fund price vs. prices of underlying stocks (I personally know a guy who has made a fortune doing that), stat arb. My interest is finding pairs of stocks with prices that closely track each other (such stocks are called co-integrated). When the prices diverge from each other, I take long and short positions. When the prices mean-revert to long term average spread, I close both positions for profit. Since the positions are always hedged, the strategy can make money regradless of whatever else happens in the market. The math of identifying co-integrated stocks can be very simple, - just count how many times the price spread flips sign in a fixed interval of time. Or it can be more complicated, using specialized statistical tests, such as ADF. Some of JBookTrader's functionality can be useful to determine the timing of spread mean reversion. ________________________________ From: new_trader <[email protected]> To: JBookTrader <[email protected]> Sent: Thu, November 4, 2010 3:05:43 PM Subject: [JBookTrader] Re: Cross Indicators @Astor: where do you see arbitrage possibilities in JBT? Can you please elaborate a bit more on this? can you have some thoughts on the (mathematical) background of this? -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en. -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
