Pairs trading : quantitative methods and analysis / Ganapathy Vidyamurthy.

Format:

Book

Author/Creator:

Vidyamurthy, Ganapathy, author.

Series:

Wiley Finance

Wiley Finance ; v.217

Language:

English

Subjects (All):

Pairs trading.

Stocks.

Portfolio management.

Investment analysis.

Physical Description:

1 online resource (224 p.)

Edition:

1st edition

Place of Publication:

Hoboken, New Jersey : Wiley, 2004.

Language Note:

English

System Details:

text file

Summary:

The first in-depth analysis of pairs tradingPairs 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, an

Contents:

Pairs Trading; Contents; Preface; Acknowledgments; CHAPTER 1 Introduction; CHAPTER 2 Time Series; CHAPTER 3 Factor Models; CHAPTER 4 Kalman Filtering; CHAPTER 5 Overview; CHAPTER 6 Pairs Selection in Equity Markets; CHAPTER 7 Testing for Tradability; CHAPTER 8 Trading Design; CHAPTER 9 Risk Arbitrage Mechanics; CHAPTER 10 Trade Execution; CHAPTER 11 The Market Implied Merger Probability; CHAPTER 12 Spread Inversion; Index

Notes:

Includes index.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781283644723

128364472X

9780471684572

0471684570

OCLC:

56827419