Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
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.
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说的是清楚,不过讲的东西太少,到头来就是个cointegration,一个chapter就能讲明白的。
评分读了前面的统计套利部分,后面的兼并套利没看。 用协整来做,理论虽然完善,但机会实在太少了。
评分比统计套利那本书好点
评分对statistical arbitrage和risk arbitrage进行了生动的介绍,但其中的数学证明有些粗糙。可以结合quantitative portfolio management和time series analysis一起看,理解将更加深入
评分读了前面的统计套利部分,后面的兼并套利没看。 用协整来做,理论虽然完善,但机会实在太少了。
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