Pairs trading quantitative methods and analysis
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 th...
| Otros Autores: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley
2004.
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| Edición: | 1st edition |
| Colección: | Wiley Finance
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627041506719 |
Tabla de Contenidos:
- 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
