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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只有 co-integration
评分对基本概念有个综述,但是对于OU过程讲的并不多
评分不实用啊
评分生计所迫不得不读,内容比较浅显,适合商学院的本科生。//加一颗星,后来发现作为总纲这书还是可以的,基本思想都说到了,可以用一天的时间了解pairs trading的理论基础,当然实用性还是零
评分一种比较古老的方法。
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