Hugendubel.de - Das Lesen ist schön

Warenkorb

€ 0,00 0 Buch dabei,
portofrei

Pairs Trading

Quantitative Methods and Analysis. Illustrations. Sprache: Englisch.
Buch (gebunden)
The first in-depth analysis of pairs trading Pairs 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 ... weiterlesen
Dieses Buch ist auch verfügbar als:
Buch

126,99*

inkl. MwSt.
Portofrei
Lieferbar innerhalb von zwei Wochen
Pairs Trading als Buch
Produktdetails
Titel: Pairs Trading
Autor/en: Ganapathy Vidyamurthy

ISBN: 0471460672
EAN: 9780471460671
Quantitative Methods and Analysis.
Illustrations.
Sprache: Englisch.
John Wiley and Sons Ltd

30. August 2004 - gebunden - 224 Seiten

Beschreibung

The first in-depth analysis of pairs trading Pairs 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 the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.

Inhaltsverzeichnis

Preface.
Acknowledgments.
PART ONE: Background Material.
CHAPTER 1: Introduction.
The CAPM Model.
Market Neutral Strategy.
Pairs Trading.
Outline.
Audience.
CHAPTER 2: Time Series.
Overview.
Autocorrelation.
Time Series Models.
Forecasting.
Goodness of Fit versus Bias.
Model Choice.
Modeling Stock Prices.
CHAPTER 3: Factor Models.
Introduction.
Arbitrage Pricing Theory.
The Covariance Matrix.
Application: Calculating the Risk on a Portfolio.
Application: Calculation of Portfolio Beta.
Application: Tracking Basket Design.
Sensitivity Analysis.
CHAPTER 4: Kalman Filtering.
Introduction.
The Kalman Filter.
The Scalar Kalman Filter.
Filtering the Random Walk.
Application: Example with the Standard & Poor Index.
PART TWO: Statistical Arbitrage Pairs.
CHAPTER 5: Overview.
History.
Motivation.
Cointegration.
Applying the Model.
A Trading Strategy.
Road Map for Strategy Design.
CHAPTER 6: Pairs Selection in Equity Markets.
Introduction.
Common Trends Cointegration Model.
Common Trends Model and APT.
The Distance Measure.
Interpreting the Distance Measure.
Reconciling Theory and Practice.
CHAPTER 7: Testing for Tradability.
Introduction.
The Linear Relationship.
Estimating the Linear Relationship: The Multifactor Approach.
Estimating the Linear Relationship: The Regression Approach.
Testing Residual for Tradability.
CHAPTER 8: Trading Design.
Introduction.
Band Design for White Noise.
Spread Dynamics.
Nonparametric Approach.
Regularization.
Tying Up Loose Ends.
PART THREE: Risk Arbitrage Pairs.
CHAPTER 9: Risk Arbitrage Mechanics.
Introduction.
History.
The Deal Process.
Transaction Terms.
The Deal Spread.
Trading Strategy.
Quantitative Aspects.
CHAPTER 10: Trade Execution.
Introduction.
Specifying the Order.
Verifying the Execution.
Execution During the Pricing Period.
Short Selling.
CHAPTER 11: The Market Implied Merger Probability.
Introduction.
Implied Probabilities and Arrow-Debreu Theory.
The Single-Step Model.
The Multistep Model.
Reconciling Theory and Practice.
Risk Management.
CHAPTER 12: Spread Inversion.
Introduction.
The Prediction Equation.
The Observation Equation.
Applying the Kalman Filter.
Model Selection.
Applications to Trading.
Index.

Portrait

Ganapathy Vidyamurthy has been working in the financial markets for nearly a decade. During this time, he created the entire risk management software infrastructure for RBC Dominion Securities in New York, and built valuation models and automated execution strategies for UBS Warburg and JP Morgan Fleming. He is currently the principal of Himalaya Consulting. Beyond finance, Mr. Vidyamurthy's interests range from discrete optimization to algorithmic music composition-a field in which he is often cited. Mr. Vidyamurthy has a master's degree in electrical communication engineering from the Indian Institute of Science and a master's degree from the Courant Institute of Mathematical Sciences of New York University.

Kunden, die diesen Artikel gekauft haben, kauften auch

Tragen Sie Ihre E-Mail- Adresse ein, und bleiben Sie kostenlos informiert:
Mörderischer Mistral
- 20% **
eBook
von Cay Rademache…
Print-Ausgabe € 9,99
Harry Potter 1 und der Stein der Weisen
Buch (gebunden)
von Joanne K. Row…
Taxi für eine Leiche
- 19% **
eBook
von Edith Kneifl
Print-Ausgabe € 9,95
Endstation Donau
- 49% **
eBook
von Edith Kneifl
Print-Ausgabe € 19,90

Mehr aus dieser Reihe

zurück
Financial Modeling and Valuation: A Practical Guide to Investment Banking and Private Equity
Buch (gebunden)
von Paul Pignataro
Modern Security Analysis: Understanding Wall Street Fundamentals
Buch (gebunden)
von Martin J. Whitma…
How to Be an Investment Banker: Recruiting, Interviewing, and Landing the Job
Buch (gebunden)
von Andrew Gutmann
Investment Banking Workbook
- 6% **
Buch (kartoniert)
von Joshua Rosenbaum…
Bisher € 41,49
Standards of Value: Theory and Applications
- 5% **
Buch (gebunden)
von Jay E. Fishman
Bisher € 117,99
vor

Diese Artikel könnten Sie auch interessieren

Act of Law - Liebe verpflichtet
- 70% **
eBook
von Karin Lindber…
Print-Ausgabe € 11,99
Inseltage
eBook
von Jette Hansen
Harry Potter 1 und der Stein der Weisen. Schmuckausgabe
Buch (gebunden)
von Joanne K. Row…
Revolutionary Suicide
Taschenbuch
von Huey P. Newto…
Fmoc Solid Phase Peptide Synthesis: A Practical Approach
Buch (kartoniert)
von W. Chan, Weng…
Servicehotline
089 - 70 80 99 47

Mo. - Fr. 8.00 - 20.00 Uhr
Sa. 10.00 - 20.00 Uhr
Filialhotline
089 - 30 75 75 75

Mo. - Sa. 9.00 - 20.00 Uhr
Bleiben Sie in Kontakt:
Sicher & bequem bezahlen:
akzeptierte Zahlungsarten: Überweisung, offene Rechnung,
Visa, Master Card, American Express, Paypal
Zustellung durch:
* Alle Preise verstehen sich inkl. der gesetzlichen MwSt. Informationen über den Versand und anfallende Versandkosten finden Sie hier.
** im Vergleich zum dargestellten Vergleichspreis.