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Book Cover
Book
Author Vidyamurthy, Ganapathy.

Title Pairs trading : quantitative methods and analysis / Ganapathy Vidyamurthy
Published Hoboken, N.J. ; [Great Britain] : J. Wiley, [2004]
©2004

Copies

Location Call no. Vol. Availability
 MELB  332.64524 Vid/Ptq  AVAILABLE
Description xii, 210 pages : illustrations ; 24 cm
Contents Ch. 1. Introduction -- Ch. 2. Time series -- Ch. 3. Factor models -- Ch. 4. Kalman filtering -- Ch. 5. Overview -- Ch. 6. Pairs selection in equity markets -- Ch. 7. Testing for tradability -- Ch. 8. Trading design -- Ch. 9. Risk arbitrage mechanics -- Ch. 10. Trade execution -- Ch. 11. The market implied merger probability -- Ch. 12. Spread inversion
Summary "Author Ganapathy Vidyamurthy examines two versions of pairs trading that arise in the context of statistical arbitrage and risk arbitrage. He offers a point of view that integrates theory and practice - providing in-depth analysis and insight in both of these cases. Issues encountered when translating theory to practice are addressed in a direct manner, arming the investment professional with the quantitative tools needed to answer key questions relating to this type of trading." "Written in an easy, accessible style, the book is a seamless blend of ideas ranging from econometrics, control theory, and operations research to core financial theories like arbitrage pricing theory and the theory of contingent claims. It is organized in three information-packed parts. Part I sets the context for the rest of the book by introducing material on key topics including time series, factor models, and Kalman filtering."--BOOK JACKET
Notes Formerly CIP. Uk
Bibliography Includes bibliographical references and index
Notes Print version record
Subject Pairs trading.
Stocks.
Portfolio management.
Investment analysis.
LC no. 2004005528
ISBN 0471460672 hardback