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.
發表於2024-06-08
Pairs Trading 2024 pdf epub mobi 電子書 下載
圖書標籤: 金融 統計套利 quant 配對交易 交易 投資 量化投資 finance
對statistical arbitrage和risk arbitrage進行瞭生動的介紹,但其中的數學證明有些粗糙。可以結閤quantitative portfolio management和time series analysis一起看,理解將更加深入
評分比統計套利那本書好點
評分不實用啊
評分對基本概念有個綜述,但是對於OU過程講的並不多
評分讀瞭前麵的統計套利部分,後麵的兼並套利沒看。 用協整來做,理論雖然完善,但機會實在太少瞭。
Pairs Trading 2024 pdf epub mobi 電子書 下載