Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
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.
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读了前面的统计套利部分,后面的兼并套利没看。 用协整来做,理论虽然完善,但机会实在太少了。
评分Good book for statistical arbitrage, though not cover all materials in statarb.
评分对基本概念有个综述,但是对于OU过程讲的并不多
评分比统计套利那本书好点
评分一种比较古老的方法。
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