Ganapathy Vidyamurthy – Pairs Trading: Quantitative Methods and Analysis
Original price was: $78.00.$26.00Current price is: $26.00.
Digital Download: You will receive a download link via your order email after successful payment
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…
Pairs Trading: Quantitative Methods and Analysis
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.
About the Author
Table of contents
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.
Get download Ganapathy Vidyamurthy – Pairs Trading: Quantitative Methods and Analysis at IMC.sale right now!
Delivery Method
– After your purchase, you’ll see a View your orders link which goes to the Downloads page. Here, you can download all the files associated with your order.
– Downloads are available once your payment is confirmed, we’ll also send you a download notification email separate from any transaction notification emails you receive from IMC.sale.
– Since it is a digital copy, our suggestion is to download and save it to your hard drive. In case the link is broken for any reason, please contact us and we will resend the new download link.
– If you cannot find the download link, please don’t worry about that. We will update and notify you as soon as possible at 8:00 AM – 8:00 PM (UTC+8).
Thank You For Shopping With Us!
Be the first to review “Ganapathy Vidyamurthy – Pairs Trading: Quantitative Methods and Analysis”
Related Products
9 reviews for Ganapathy Vidyamurthy – Pairs Trading: Quantitative Methods and Analysis
There are no reviews yet.