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Pairs trading quantitative methods and analysis

The first in-depth analysis of pairs tradingPairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals th...

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Bibliographic Details
Main Author: Vidyamurthy, Ganapathy
Format: eBook
Language:English
Published: Hoboken, N.J. J. Wiley 2004
Series:Wiley Finance
Subjects:
Pairs Trading / Fast
Portfolio Management / Fast
Gestion De Portefeuille
Business & Economics / Investments & Securities / Futures / Bisacsh
Investment Analysis / Fast
Stocks / Http://id.loc.gov/authorities/subjects/sh85128226
Portfolio Management / Http://id.loc.gov/authorities/subjects/sh85105080
Stocks / Fast
Pairs Trading / Http://id.loc.gov/authorities/subjects/sh2004003146
Investment Analysis / Http://id.loc.gov/authorities/subjects/sh85067707
Actions (titres De Société)
Analyse Financière
Arbitrage Statistique
Online Access:
Collection: O'Reilly - Collection details see MPG.ReNa
Table of Contents:
  • BACKGROUND MATERIAL
  • Introduction
  • Time Series
  • Factor Models
  • Kalman Filtering
  • STATISTICAL ARBITRAGE PAIRS
  • Overview
  • Pairs Selection in the Equity Markets
  • Trading Desing
  • RISK ARBITRAGE PAIRS
  • Risk Arbitrage Mechanics
  • Trade Execution
  • The Market Implied Merger Probability
  • Spread Inversion
  • Includes bibliographical references and index

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