Editing Statistical arbitrage (section)

==Other sources==
* Avellaneda, M. and J.H. Lee: [http://www.math.nyu.edu/faculty/avellane/AvellanedaLeeStatArb071108.pdf "Statistical arbitrage in the US equities market"]. A well documented empirical study which confirms that StatArb profitability dropped after 2002 and 2003.
*Bertram, W.K., 2009, Analytic Solutions for Optimal Statistical Arbitrage Trading, Available at SSRN: https://ssrn.com/abstract=1505073.
*Bertram, W.K., 2009, Optimal Trading Strategies for Ito Diffusion Processes, Physica A, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1371903. Presents a robust theoretical framework for statistical arbitrage trading.
* Richard Bookstaber: [[A Demon Of Our Own Design]], Wiley (2006).  Describes: the birth of Stat Arb at Morgan Stanley in the mid-1980s, out of the pairs trading ideas of Gerry Bamberger.  The eclipse of  the concept after the departure of Bamberger for Newport/Princeton Partners and of D.E. Shaw to start his own StatArb firm.  And finally the revival of StatArb at Morgan Stanley under Peter Muller in 1992.  Includes this comment (p.&nbsp;194): “Statistical arbitrage is now past its prime. In mid-2002 the performance of stat arb strategies began to wane, and the standard methods have not recovered.”
*Jegadeesh, N., 1990, 'Evidence of Predictable Behavior of Security Returns', Journal of Finance 45, p.&nbsp;881–898. An important early article (along with Lehmann’s) about short term return predictability, the source of StatArb returns
*{{cite journal|last=Kolman|first=Joe|title=Inside D. E. Shaw|journal=Derivatives Strategy|year=1998|url=http://www.derivativesstrategy.com/magazine/archive/1998/0298fea2.asp|access-date=23 June 2013}}
*Lehmann, B., 1990, 'Fads, Martingales, and Market Efficiency', Quarterly Journal of Economics 105, pp.&nbsp;1–28. First article in the open literature to document the short term return-reversal effect that early StatArb funds exploited.
*[http://media.wiley.com/product_data/excerpt/11/04700235/0470023511.pdf Ed Thorp: A Perspective on Quantitative Finance – Models for Beating the Market] Autobiographical piece describing [[Ed Thorp]]'s stat arb work in the early and mid-1980s (see p.&nbsp;5)
*Ed Thorp: Statistical Arbitrage, Wilmott Magazine, June 2008 ([http://www.wilmott.com/pdfs/080617_thorp.pdf Part1] [http://www.wilmott.com/pdfs/080630_thorp.pdf Part2] [http://www.wilmott.com/pdfs/080709_thorp.pdf Part3] [http://www.edwardothorp.com/sitebuildercontent/sitebuilderfiles/statisticalarbitrage4.doc.doc Part4] [http://www.edwardothorp.com/sitebuildercontent/sitebuilderfiles/statisticalarbitrage5.doc.doc Part5] [http://www.edwardothorp.com/sitebuildercontent/sitebuilderfiles/statisticalarbitrage6.doc.doc Part6]). More reminiscences from the early days of StatArb from one of its pioneers.