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Alpha trading [[electronic resource] ] : profitable strategies that remove directional risk / / Perry Kaufman
| Alpha trading [[electronic resource] ] : profitable strategies that remove directional risk / / Perry Kaufman |
| Autore | Kaufman Perry J |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, c2011 |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 332.64/52 |
| Collana | Wiley trading series |
| Soggetto topico |
Pairs trading
Futures |
| ISBN |
1-118-00122-2
1-119-19872-0 1-283-02598-1 9786613025982 1-118-00120-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Alpha Trading; Contents; Preface; CHAPTER 1 Uncertainty; Impact on Trading; The Inevitable Price Shocks; Why So Much about Price Shocks?; Complexity and Contagion Risk; The Ugly Side; Taking Defensive Action; Accepting Performance for What It Is; CHAPTER 2 The Importance of Price Noise; Noise Explained; Different Markets; A Closer Look at Equity Index Markets; Importance of Noise; Determining the Strategy; Capitalizing on the Trend of Noise; CHAPTER 3 Pairs Trading: Understanding the Process; The Process; The Basics; Target Volatility; Home Builders; Using ETFs
Portfolio of Home Builder PairsExecution and the Part-Time Trader; Stop-Losses; Trading Intraday; Key Points to Remember; CHAPTER 4 Pairs Trading Using Futures; Futures; Mechanics of a Pairs Trade in Futures; Inflation Scares; Trading Energy Pairs; Revisiting Momentum with Energy Markets; A Miniportfolio of Natural Gas Pairs; The Inflation Pairs: Crude, the EURUSD, and Gold; Equity Index Pairs; Leveraging with Futures; London Metals Exchange Pairs; Volatility Filters; Interest Rate Futures; Summary; CHAPTER 5 Risk-Adjusted Spreads; Dell and Hewlett-Packard Trading Both Long-Term (Hedged) Trends and Short-Term Mean ReversionGold, Platinum, and Silver; The Platinum/Gold Ratio; Implied Yield; The Yield Curve; Trend Trading of London Metal Exchange Pairs; Summary; CHAPTER 6 Cross-Market Trading and the Stress Indicator; The Crossover Trade; The Stress Indicator; Gold, Copper, and Platinum; Mining Companies; Agribusiness Pairs; The Major Energy Producers; Portfolio of Cross-Market Energy Pairs; Other Opportunities; Some Final Notes; CHAPTER 7 Revisiting Pairs Using the Stress Indicator; Futures Markets and the Stress Indicator; Equity Index Futures Interest Rate FuturesThe Portfolio Spreadsheet; Summary of Pairs Trading; CHAPTER 8 Traditional Market-Neutral Trading; Home Builders; Trend or Mean Reversion?; Basic Market-Neutral Concept; Volatility-Adjusting the Position Size; Arbing the Dow: A Large-Scale Program; Thoughts about Market-Neutral Trend Following; Market Neutral Using Futures; Market-Neutral Comments; CHAPTER 9 Other Stat-Arb Methods; Trade-Offs; System Briefs; New Highs and New Lows; Merger Arb; Creating Your Own Index Arbitrage; Arbing the Dow; Arbing the S&P 500-Index Arbitrage; About the Companion Web Site About the AuthorIndex |
| Record Nr. | UNINA-9910139205703321 |
Kaufman Perry J
|
||
| Hoboken, NJ, : John Wiley & Sons, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Alpha trading : profitable strategies that remove directional risk / / Perry Kaufman
| Alpha trading : profitable strategies that remove directional risk / / Perry Kaufman |
| Autore | Kaufman Perry J |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, c2011 |
| Descrizione fisica | 1 online resource (322 p.) |
| Disciplina | 332.64/52 |
| Collana | Wiley trading series |
| Soggetto topico |
Pairs trading
Futures |
| ISBN |
1-118-00122-2
1-119-19872-0 1-283-02598-1 9786613025982 1-118-00120-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Alpha Trading; Contents; Preface; CHAPTER 1 Uncertainty; Impact on Trading; The Inevitable Price Shocks; Why So Much about Price Shocks?; Complexity and Contagion Risk; The Ugly Side; Taking Defensive Action; Accepting Performance for What It Is; CHAPTER 2 The Importance of Price Noise; Noise Explained; Different Markets; A Closer Look at Equity Index Markets; Importance of Noise; Determining the Strategy; Capitalizing on the Trend of Noise; CHAPTER 3 Pairs Trading: Understanding the Process; The Process; The Basics; Target Volatility; Home Builders; Using ETFs
Portfolio of Home Builder PairsExecution and the Part-Time Trader; Stop-Losses; Trading Intraday; Key Points to Remember; CHAPTER 4 Pairs Trading Using Futures; Futures; Mechanics of a Pairs Trade in Futures; Inflation Scares; Trading Energy Pairs; Revisiting Momentum with Energy Markets; A Miniportfolio of Natural Gas Pairs; The Inflation Pairs: Crude, the EURUSD, and Gold; Equity Index Pairs; Leveraging with Futures; London Metals Exchange Pairs; Volatility Filters; Interest Rate Futures; Summary; CHAPTER 5 Risk-Adjusted Spreads; Dell and Hewlett-Packard Trading Both Long-Term (Hedged) Trends and Short-Term Mean ReversionGold, Platinum, and Silver; The Platinum/Gold Ratio; Implied Yield; The Yield Curve; Trend Trading of London Metal Exchange Pairs; Summary; CHAPTER 6 Cross-Market Trading and the Stress Indicator; The Crossover Trade; The Stress Indicator; Gold, Copper, and Platinum; Mining Companies; Agribusiness Pairs; The Major Energy Producers; Portfolio of Cross-Market Energy Pairs; Other Opportunities; Some Final Notes; CHAPTER 7 Revisiting Pairs Using the Stress Indicator; Futures Markets and the Stress Indicator; Equity Index Futures Interest Rate FuturesThe Portfolio Spreadsheet; Summary of Pairs Trading; CHAPTER 8 Traditional Market-Neutral Trading; Home Builders; Trend or Mean Reversion?; Basic Market-Neutral Concept; Volatility-Adjusting the Position Size; Arbing the Dow: A Large-Scale Program; Thoughts about Market-Neutral Trend Following; Market Neutral Using Futures; Market-Neutral Comments; CHAPTER 9 Other Stat-Arb Methods; Trade-Offs; System Briefs; New Highs and New Lows; Merger Arb; Creating Your Own Index Arbitrage; Arbing the Dow; Arbing the S&P 500-Index Arbitrage; About the Companion Web Site About the AuthorIndex |
| Record Nr. | UNINA-9910821018003321 |
|
Kaufman Perry J
|
||
| Hoboken, NJ, : John Wiley & Sons, c2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Trading systems and methods / / Perry J. Kaufman
| Trading systems and methods / / Perry J. Kaufman |
| Autore | Kaufman Perry J |
| Edizione | [5th ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2013 |
| Descrizione fisica | 1 online resource (1232 p.) |
| Disciplina | 332.64/4 |
| Altri autori (Persone) | KaufmanPerry J |
| Collana | Wiley Trading |
| Soggetto topico |
Commodity exchanges - Statistical methods
Technical analysis (Investment analysis) |
| ISBN |
1-119-20256-6
1-283-96049-4 1-118-22224-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Trading Systems and Methods; Contents; Preface to the Fifth Edition; CHAPTER 1 Introduction; THE EXPANDING ROLE OF TECHNICAL ANALYSIS; CONVERGENCE OF TRADING STYLES IN STOCKS AND FUTURES; A LINE IN THE SAND BETWEEN FUNDAMENTALS AND TECHNICAL ANALYSIS; PROFESSIONAL AND AMATEUR; RANDOM WALK; DECIDING ON A TRADING STYLE; MEASURING NOISE; Other Measurements of Noise; Impact on Trading; MATURING MARKETS AND GLOBALIZATION; BACKGROUND MATERIAL; RESEARCH GUIDELINES; OBJECTIVES OF THIS BOOK; PROFILE OF A TRADING SYSTEM; Changing Markets and System Longevity; The Choice of Data; Diversification
Trade Selection Testing; Risk Control; Transaction Costs; Performance Monitoring and Feedback; A WORD ABOUT THE NOTATION USED IN THIS BOOK; AND FINALLY . . .; CHAPTER 2 Basic Concepts and Calculations; Helpful Software; ABOUT DATA AND AVERAGING; The Law of Averages; In-Sample and Out-of-Sample Data; How Much Data Is Enough?; ON AVERAGE; Geometric Mean; Quadratic Mean; Harmonic Mean; PRICE DISTRIBUTION; Frequency Distributions; Median and Mode; Characteristics of the Principal Averages; MOMENTS OF THE DISTRIBUTION: VARIANCE, SKEWNESS, AND KURTOSIS; Variance (2nd Moment); Skewness (3rd moment Kurtosis (4th Moment)Choosing between Frequency Distribution and Standard Deviation; Probability of Achieving a Return; Standard Error; t-Statistic and Degrees of Freedom; STANDARDIZING RISK AND RETURN; Calculating Returns; Risk and Volatility; THE INDEX; Constructing an Index; Calculating the Net Asset Value-Indexing Returns; Leveraged Long or Short Index Funds; Cross-Market and Weighted Index; U.S. Dollar Index; STANDARD MEASUREMENTS OF PERFORMANCE; PROBABILITY; Laws of Probability; Joint and Marginal Probability; Contingent Probability; Markov Chains; Bayes' Theorem; SUPPLY AND DEMAND Demand Supply; Equilibrium; Cobweb Charts; Building a Model; Changing Factors; Economic Reports; CHAPTER 3 Charting; FINDING CONSISTENT PATTERNS; What Causes Chart Patterns?; WHAT CAUSES THE MAJOR PRICE MOVES AND TRENDS?; THE BAR CHART AND ITS INTERPRETATION BY CHARLES DOW; The Dow Theory; The Basic Tenets of the Dow Theory; Interpreting Today's S&P Using Dow Theory; Dow Theory and Futures Markets; CHART FORMATIONS; The Trend in Retrospect; TRENDLINES; Redrawing Trendlines; Support and Resistance Lines; Rules for Trading Using Trendlines Trading Rules for Horizontal Support and Resistance Levels Creating a Channel with Trendlines; ONE-DAY PATTERNS; Gaps; Trading Rules for Gaps; Spikes; Island Reversals; Reversal Days and Key Reversal Days; Wide-Ranging Days, Inside Days, and Outside Days; CONTINUATION PATTERNS; Symmetric, Descending, and Ascending Triangles; Formation of a Descending Triangle; Flags; Pennants; Wedges; BASIC CONCEPTS IN CHART TRADING; Major and Minor Formations; Market Noise; ACCUMULATION AND DISTRIBUTION-BOTTOMS AND TOPS; V-Tops and V-Bottoms; Double and Triple Tops and Bottoms; Extended Rectangle Bottom Rounded Tops and Bottoms |
| Record Nr. | UNINA-9910141497603321 |
|
Kaufman Perry J
|
||
| Hoboken, N.J., : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||