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Statistical Arbitrage and Pairs Trading with Python: Market-Neutral Strategies Using Cointegration by Alice Schwartz, James Preston

Statistical Arbitrage and Pairs Trading with Python: Market-Neutral Strategies Using Cointegration

by Alice Schwartz , James Preston
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Book cover type: Paperback
  • ISBN13: 9798198788756
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Independently Published
  • Publisher Imprint: Independently Published
  • Publication Date:
  • Pages: 478
  • Original Price: GBP 29.63
  • Language: English
  • Edition: N/A
  • Item Weight: 572 grams
  • BISAC Subject(s): Investments & Securities / Analysis & Trading Strategies

Reactive Publishing

Statistical arbitrage and pairs trading remain among the most sophisticated quantitative approaches used by hedge funds and professional traders. This book provides a clear, practical introduction to building market-neutral trading systems using Python.

You will learn how to identify cointegrated asset pairs, test for mean reversion, and construct market-neutral portfolios that aim to profit from relative price movements rather than overall market direction. The focus is on robust statistical methods and practical implementation.

What You'll Find Inside:

  • Core concepts of statistical arbitrage and pairs trading
  • Stationarity and cointegration testing (ADF, Johansen, Engle-Granger)
  • Python implementation using pandas, NumPy, Statsmodels, and scikit-learn
  • Spread modeling, z-score signals, and position sizing
  • Backtesting frameworks for pairs trading strategies
  • Risk management techniques specific to market-neutral systems
  • Common pitfalls and how to avoid overfitting

Written for quantitative traders, developers, and finance students with basic Python knowledge, this book emphasizes technical accuracy and methodological clarity over theoretical abstraction. All code examples are fully reproducible and designed to help readers develop their own systematic trading research.

Important Note: This book is for educational and research purposes only. Past performance does not guarantee future results. Trading involves substantial risk of loss.

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