Pairs Trading

Pairs Trading pdf epub mobi txt 电子书 下载 2025

Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.

出版者:John Wiley & Sons
作者:Ganapathy Vidyamurthy
出品人:
页数:224
译者:
出版时间:2004-8-16
价格:GBP 105.00
装帧:Hardcover
isbn号码:9780471460671
丛书系列:
图书标签:
  • 金融 
  • 统计套利 
  • quant 
  • 配对交易 
  • 交易 
  • 投资 
  • 量化投资 
  • finance 
  •  
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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.

具体描述

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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。

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Good book for statistical arbitrage, though not cover all materials in statarb.

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对基本概念有个综述,但是对于OU过程讲的并不多

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比统计套利那本书好点

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一种比较古老的方法。

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