Pairs trading : quantitative methods and analysis / Ganapathy Vidyamurthy.

Author
Vidyamurthy, Ganapathy [Browse]
Format
Book
Language
English
Εdition
1st edition
Published/​Created
  • Hoboken, New Jersey : Wiley, 2004.
  • ©2004
Description
1 online resource (224 p.)

Details

Subject(s)
Series
Summary note
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 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, an
Notes
Includes index.
Bibliographic references
Includes bibliographical references and index.
Source of description
Description based on print version record.
Language note
English
Contents
Pairs Trading; Contents; Preface; Acknowledgments; CHAPTER 1 Introduction; CHAPTER 2 Time Series; CHAPTER 3 Factor Models; CHAPTER 4 Kalman Filtering; CHAPTER 5 Overview; CHAPTER 6 Pairs Selection in Equity Markets; CHAPTER 7 Testing for Tradability; CHAPTER 8 Trading Design; CHAPTER 9 Risk Arbitrage Mechanics; CHAPTER 10 Trade Execution; CHAPTER 11 The Market Implied Merger Probability; CHAPTER 12 Spread Inversion; Index
ISBN
  • 1-283-64472-X
  • 0-471-68457-0
OCLC
56827419
Statement on language in description
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