Pairs Trading
quantitative methods and analysis
- ISBN: 9780471460671
- Editorial: John Wiley & Sons Limited
- Fecha de la edición: 2008
- Lugar de la edición: West Sussex. Reino Unido
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 209
- Idiomas: Inglés
Author Ganapathy Vidyamurthy examines two versions of pairs trading that arise in the context of statistical arbitrage and risk arbitrage. He offers a point of view that integrates theory and practice - providing in-depth analysis and insight in both of these cases. Issues encountered when translating theory to practice are addressed in a direct manner, arming the investment professional with the quantitative tools needed to answer key questions relating to this type of trading. 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.