Pairs Trading

Author: Ganapathy Vidyamurthy
Publisher: John Wiley & Sons
ISBN: 9781118045701
File Size: 74,36 MB
Format: PDF, Kindle
Read: 3065
Download or Read Book

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

Pairs Trading

Author: Ganapathy Vidyamurthy
Publisher: John Wiley & Sons
ISBN: 9780471460671
File Size: 52,75 MB
Format: PDF
Read: 3558
Download or Read Book

"Written in an easy, accessible style, the book is a seamless blend of ideas ranging from econometrics, control theory, and operations research to core financial theories like arbitrage pricing theory and the theory of contingent claims. It is organized in three information-packed parts. Part I sets the context for the rest of the book by introducing material on key topics including time series, factor models, and Kalman filtering."--Jacket.

Pairs Trading

Author: Ganapathy Vidyamurthy
Publisher: John Wiley & Sons
ISBN: 0471684570
File Size: 65,87 MB
Format: PDF, ePub
Read: 3653
Download or Read Book

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

Statistical Arbitrage

Author: Andrew Pole
Publisher: John Wiley & Sons
ISBN: 1118160738
File Size: 52,42 MB
Format: PDF, ePub
Read: 4575
Download or Read Book

While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.

Applied Quantitative Methods For Trading And Investment

Author: Christian L. Dunis
Publisher: John Wiley & Sons
ISBN: 0470871342
File Size: 71,83 MB
Format: PDF, ePub
Read: 4091
Download or Read Book

This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio

Alpha Trading

Author: Perry J. Kaufman
Publisher: John Wiley & Sons
ISBN: 9781118001226
File Size: 62,91 MB
Format: PDF, ePub, Docs
Read: 4937
Download or Read Book

From a leading trading systems developer, how to make profitable trades when there are no obvious trends How does a trader find alpha when markets make no sense, when price shocks cause diversification to fail, and when it seems impossible to hedge? What strategies should traders, long conditioned to trend trading, deploy? In Alpha Trading: Profitable Strategies That Remove Directional Risk, author Perry Kaufman presents strategies and systems for profitably trading in directionless markets and in those experiencing constant price shocks. The book Details how to exploit new highs and lows Describes how to hedge primary risk components, find robustness, and craft a diversification program Other titles by Kaufman: New Trading Systems and Methods, 4th Edition and A Short Course in Technical Trading, both by Wiley Given Kaufman's 30 years of experience trading in almost every kind of market, his Alpha Trading will be a welcome addition to the trading literature of professional and serious individual traders for years to come.

Trading Pairs

Author: Mark Whistler
Publisher: John Wiley & Sons
ISBN: 0471679704
File Size: 30,76 MB
Format: PDF, Docs
Read: 2031
Download or Read Book

An accessible guide to the pairs trading technique A leading arbitrage expert gives traders real tools for using pairs trading, including customizable Excel worksheets available on the companion website. Mark Whistler (Denver, CO) is the key developer of pairstrader.com as well as a licensed securities trader and broker and leading arbitrage expert.

Analysis Of Financial Time Series

Author: Ruey S. Tsay
Publisher: John Wiley & Sons
ISBN: 0471746185
File Size: 22,59 MB
Format: PDF, ePub, Mobi
Read: 7766
Download or Read Book

Provides statistical tools and techniques needed to understand today's financial markets The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples. Following this approach, readers will master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods. The author begins with the basic characteristics of financial time series data, setting the foundation for the three main topics: Analysis and application of univariate financial time series Return series of multiple assets Bayesian inference in finance methods This new edition is a thoroughly revised and updated text, including the addition of S-Plus® commands and illustrations. Exercises have been thoroughly updated and expanded and include the most current data, providing readers with more opportunities to put the models and methods into practice. Among the new material added to the text, readers will find: Consistent covariance estimation under heteroscedasticity and serial correlation Alternative approaches to volatility modeling Financial factor models State-space models Kalman filtering Estimation of stochastic diffusion models The tools provided in this text aid readers in developing a deeper understanding of financial markets through firsthand experience in working with financial data. This is an ideal textbook for MBA students as well as a reference for researchers and professionals in business and finance.

Intermarket Trading Strategies

Author: Markos Katsanos
Publisher: John Wiley & Sons
ISBN: 1119995906
File Size: 76,48 MB
Format: PDF, ePub
Read: 8818
Download or Read Book

This book shows traders how to use Intermarket Analysis to forecast future equity, index and commodity price movements. It introduces custom indicators and Intermarket based systems using basic mathematical and statistical principles to help traders develop and design Intermarket trading systems appropriate for long term, intermediate, short term and day trading. The metastock code for all systems is included and the testing method is described thoroughly. All systems are back tested using at least 200 bars of historical data and compared using various profitability and drawdown metrics.

Quantitative Trading

Author: Ernest P. Chan
Publisher:
ISBN: 9781119203377
File Size: 46,87 MB
Format: PDF
Read: 1804
Download or Read Book

"While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed"--Resource description page.