Patent ID: 8688558

Claim:
A method for identifying trades for a statistical arbitrage program, comprising: determining, by at least one processor, a first relative performance of a stock pair at a current time; determining, by the at least one processor, a historical time during which the stock pair reverts to an expected relative performance according to a cyclic performance between the stock pair; determining, by the at least one processor, a second relative performance of the stock pair based on the historical time; calculating, by the at least one processor, a deviation in the first relative performance and the second relative performance; repeating the determining and the calculating for each stock pair of a plurality of stock pairs; calculating a volume of shares to trade based on the calculated deviation; and initiating a number of trades of a stock comprising one of the stocks of the plurality of stock pairs based on the calculated volume of shares and one or more of a weighting factor and a deviation curve function.