统计套利:算法交易的见解与技巧Statistical Arbitrage: Algorithmic Trading Insights and Techniques
分類: 图书,进口原版书,经管与理财 Business & Investing ,
作者: Andrew Pole著
出 版 社:
出版时间: 2007-10-1字数:版次:页数: 230印刷时间: 2007/10/01开本: 16开印次:纸张: 胶版纸I S B N : 9780470138441包装: 精装内容简介
While statistical arbitrage has faced some tough timesas markets experienced dramatic changes in dynamics beginning in 2000new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Poles own research and experience running a statistical arbitrage hedge fund for eight yearsin partnership with a group whose own history stretches back to the dawn of what was first called pairs tradingthis unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.
作者简介:
Andrew Pole is a Managing Director at TIG Advisors, LLC, a registered investment advisor in New York. He specializes in quantitative trading strategies and risk management. This book is the result of his own research and experience running a statistical arbitrage hedge fund for eight years. Pole is also the coauthor of Applied Bayesian Forecasting and Time Series Analysis.
目录
Preface
Foreword
Acknowledgments
Chapter 1 Monte Carlo or Bust
Beginning
Whither?And Allusions
Chapter 2 Statistical Arbitrage
Introduction
Noise Models
Popcorn Process
Identifying Pairs
Porrfolio Configuration and Risk Control
Dynamics and Calibration
Chapter 3 Structural Models
Introduction
Formal Forecast Functions
Exponentially Weighted Moving Average
Classical Time Series Models
Which Return?
A Factor Model
Stochastic Resonance
Practical Matters
Doubling:A Deeper Perspective
Factor Analysis Primer
Chapter 4 Law of Reversion
Introduction
Model and Result
Inhomogeous Variances
First-Order Serial Correlation
Nonconstant Distributions
Applicability of the Result
Application to US Bond Futures
……
Chapter 5 Gauss is Not the God of Reversion
Chapter 6 Interstock Volatility
Chapter 7 Quantifying Reversion Opportunities
Chapter 8 Nobel Difficulties
Chapter 9 Trinity Troubles
Chapter 10 Arise Black Boxes
Chapter 11 Statistical Arbitrage Rising
Bibliography
Index