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Record Nr. |
UNINA9910677686403321 |
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Autore |
Pole Andrew <1961-> |
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Titolo |
Statistical arbitrage [[electronic resource] ] : algorithmic trading insights and techniques / / Andrew Pole |
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Pubbl/distr/stampa |
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Hoboken, N.J., : J. Wiley & Sons, c2007 |
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ISBN |
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1-118-16073-8 |
1-119-19707-4 |
1-281-28436-X |
9786611284367 |
0-470-17546-X |
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Descrizione fisica |
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1 online resource (256 p.) |
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Collana |
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Disciplina |
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Soggetti |
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Pairs trading |
Arbitrage - Mathematical models |
Speculation - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. 223) and index. |
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Nota di contenuto |
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Statistical Arbitrage: Algorithmic Trading Insights and Techniques; Contents; Preface; Foreword; Acknowledgments; Chapter 1: Monte Carlo or Bust; Chapter 2: Statistical Arbitrage; Chapter 3: Structural Models; Chapter 4: Law of Reversion; 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 |
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Sommario/riassunto |
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While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches |
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