HOME > Detail View

Detail View

Pairs trading : quantitative methods and analysis

Pairs trading : quantitative methods and analysis (Loan 1 times)

Material type
단행본
Personal Author
Vidyamurthy, Ganapathy.
Title Statement
Pairs trading : quantitative methods and analysis / Ganapathy Vidyamurthy.
Publication, Distribution, etc
Hoboken, N.J. :   J. Wiley ,   c2004.  
Physical Medium
xii, 210 p. : ill. ; 24 cm.
ISBN
0471460672 (cloth)
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Pairs trading. Stocks. Portfolio management. Investment analysis.
000 00929camuu22002894a 4500
001 000045367849
005 20070703163657
008 040308s2004 njua b 001 0 eng
010 ▼a 2004005528
020 ▼a 0471460672 (cloth)
035 ▼a (KERIS)BIB000009731503
040 ▼a 241044 ▼c 241044 ▼d 244002
042 ▼a pcc
050 0 0 ▼a HG4661 ▼b .V53 2004
082 0 0 ▼a 332.64524 ▼2 22
090 ▼a 332.64524 ▼b V655p
100 1 ▼a Vidyamurthy, Ganapathy.
245 1 0 ▼a Pairs trading : ▼b quantitative methods and analysis / ▼c Ganapathy Vidyamurthy.
260 ▼a Hoboken, N.J. : ▼b J. Wiley , ▼c c2004.
300 ▼a xii, 210 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Pairs trading.
650 0 ▼a Stocks.
650 0 ▼a Portfolio management.
650 0 ▼a Investment analysis.
740 0 ▼a Quantitative methods and analysis

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Sejong Academic Information Center/Social Science/ Call Number 332.64524 V655p Accession No. 151233405 Availability Available Due Date Make a Reservation Service C

Contents information

Table of Contents

Preface.

Acknowledgments.

PART ONE: BACKGROUND MATERIAL.

Chapter 1. Introduction.

The CAPM Model.

Market Neutral Strategy.

Pairs Trading.

Outline.

Audience.

Chapter 2. Time Series.

Overview.

Autocorrelation.

Time Series Models.

Forecasting.

Goodness of Fit versus Bias.

Model Choice.

Modeling Stock Prices.

Chapter 3. Factor Models.

Introduction.

Arbitrage Pricing Theory.

The Covariance Matrix.

Application: Calculating the Risk on a Portfolio.

Application: Calculation of Portfolio Beta.

Application: Tracking Basket Design.

Sensitivity Analysis.

Chapter 4. Kalman Filtering.

Introduction.

The Kalman Filter.

The Scalar Kalman Filter.

Filtering the Random Walk.

Application: Example with the Standard & Poor Index.

PART TWO: STATISTICAL ARBITRAGE.

Chapter 5. Overview.

History.

Motivation.

Cointegration.

Applying the Model.

A Trading Strategy.

Road Map for Strategy Design.

Chapter 6. Pairs Selection in Equity Markets.

Introduction.

Common Trends Cointegration Model.

Common Trends Model and APT.

The Distance Measure.

Interpreting the Distance Measure.

Reconciling Theory and Practice.

Chapter 7. Testing for Tradability.

Introduction.

The Linear Relationship.

Estimating the Linear Relationship: The Multifactor Approach.

Estimating the Linear Relationship: The Regression Approach.

Testing Residual for Tradability.

Chapter 8. Trading Design.

Introduction.

Band Design for White Noise.

Spread Dynamics.

Nonparametric Approach.

Regularization.

Tying Up Loose Ends.

PART THREE: RISK ARBITRAGE PAIRS.

Chapter 9. Risk Arbitrage Mechanics.

Introduction.

History.

The Deal Process.

Transaction Terms.

The Deal Spread.

Trading Strategy.

Quantitative Aspects.

Chapter 10. Trade Execution.

Introduction.

Specifying the Order.

Verifying the Execution.

Execution During the Pricing Period.

Short Selling.

Chapter 11. The Market Implied Merger Probability.

Introduction.

Implied Probabilities and Arrow-Debreu Theory.

The Single-Step Model.

The Multistep Model.

Reconciling Theory and Practice.

Risk Management.

Chapter 12. Spread Inversion.

Introduction.

The Prediction Equation.

The Observation Equation.

Applying the Kalman Filter.

Model Selection.

Applications to Trading.

Index.


Information Provided By: : Aladin

New Arrivals Books in Related Fields

Kostolany, André (2021)