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.
評分
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一種比較古老的方法。
评分生計所迫不得不讀,內容比較淺顯,適閤商學院的本科生。//加一顆星,後來發現作為總綱這書還是可以的,基本思想都說到瞭,可以用一天的時間瞭解pairs trading的理論基礎,當然實用性還是零
评分比統計套利那本書好點
评分對基本概念有個綜述,但是對於OU過程講的並不多
评分實習的原因把這本書讀完瞭,寫的稀爛名不虛傳,大概隻講到pair trading的最淺層的內容。唯二有用的內容大概就是kalman filter和cointegration。
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