Pairs Trading pdf epub mobi txt 电子书 下载 2025
Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
- 金融
- 统计套利
- quant
- 配对交易
- 交易
- 投资
- 量化投资
- finance
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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实习的原因把这本书读完了，写的稀烂名不虚传，大概只讲到pair trading的最浅层的内容。唯二有用的内容大概就是kalman filter和cointegration。
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。
评分对基本概念有个综述，但是对于OU过程讲的并不多
评分实习的原因把这本书读完了，写的稀烂名不虚传，大概只讲到pair trading的最浅层的内容。唯二有用的内容大概就是kalman filter和cointegration。
评分说的是清楚，不过讲的东西太少，到头来就是个cointegration，一个chapter就能讲明白的。
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