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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
Opac: Controlla la disponibilità qui
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 9786613025982
9781118001226
1118001222
9781119198727
1119198720
9781283025980
1283025981
9781118001202
1118001206
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
Opac: Controlla la disponibilità qui
The handbook of pairs trading [[electronic resource] ] : strategies using equities, options, and futures / / Douglas S. Ehrman
The handbook of pairs trading [[electronic resource] ] : strategies using equities, options, and futures / / Douglas S. Ehrman
Autore Ehrman Douglas S. <1976->
Pubbl/distr/stampa Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Descrizione fisica 1 online resource (271 p.)
Disciplina 332.64524
Collana Wiley trading series
Soggetto topico Pairs trading
Stocks
Soggetto genere / forma Electronic books.
ISBN 1-119-20152-7
1-280-31137-1
9786610311378
0-471-77404-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Handbook of Pairs Trading; Contents; Introduction; EQUITIES; ADVANCED STRATEGIES; Part I: The Market-Neutral Element; Chapter 1: Pairs Trading: A Brief History; THE GROWTH OF HEDGE FUND INVESTING; ONE HUNDRED YEARS; THE FUTURE; Chapter 2: Market Neutrality; TYPES OF MARKET NEUTRALITY; CHOICE OF SECURITY TYPE; THE ADVANTAGES OF MARKET-NEUTRAL INVESTING; RISKS OF MARKET-NEUTRAL INVESTING; CONCLUSION; Chapter 3: The Market-Neutral Investment Process; THE INITIAL SCREEN; STOCK SELECTION; FUNDAMENTAL ANALYSIS; CONTRARIAN ANALYSIS; MODEL CONSTRUCTION; PORTFOLIO CONSTRUCTION AND OPTIMIZATION
CONCLUSIONChapter 4: Market Neutrality and Pairs Trading; APPLYING PAIRS TO TYPES OF MARKET NEUTRALITY; PAIRS TRADING AND MARKET-NEUTRAL PORTFOLIO CONSTRUCTION; RISK MANAGEMENT; CONCLUSION; Part II: The Arbitrage Element; Arbitrage Factors; SECURITY TYPE; THE EFFICIENT MARKET HYPOTHESIS; TYPES OF ARBITRAGE CONVERGENCE; RISK ANALYSIS; NONCONVERGENCE; NORMALIZING DIVERGENCE; CONCLUSION; Arbitrage and Pairs Trading; RELATIVE-VALUE AND STATISTICAL ARBITRAGE; THE IMPLIED CONVERGENCE OF MATCHED EQUITY PAIRS; NORMALIZING PAIRS DIVERGENCE; CONCLUSION; Part III: The Technical Analysis Element
Chapter 7: Technical Tools and IndicatorsMARKET STRENGTH INDICATORS; MOVING AVERAGE INDICATORS; VOLUME AS AN INDICATOR; CONCLUSION; Chapter 8: The Technicals of Pairs Trading; PAIRS APPLICATION OF MOVING AVERAGE INDICATORS; PRICE TREND IN PAIRS TRADING; CONCLUSION; Part IV: The Unified Theory; Chapter 9: Reviewing the Elements; THE MARKET-NEUTRAL ELEMENT; THE ARBITRAGE ELEMENT; THE TECHNICAL ANALYSIS ELEMENT; Chapter 10: Trading Pairs Fundamentally; THE FUNDAMENTAL APPROACH; FUNDAMENTALS APPLIED; PORTFOLIO CONSTRUCTION; PROBLEMS WITH THE FUNDAMENTAL APPROACH; THE VERDICT
Chapter 11: The Technical ApproachTHE ELEMENTS COMBINED; GETTING STARTED; UNDERSTANDING PAIRS TECHNICALLY; TECHNICAL CHARTING AND MARKET NEUTRALITY; TECHNICAL CHARTING AND RELATIVE-VALUE ARBITRAGE; APPLYING OTHER TECHNICAL INDICATORS; SELECTING PROFIT OBJECTIVE AND STOP-LOSS LEVELS; UNIFYING THE APPROACH; Chapter 12: The Overlays; THE FUNDAMENTAL OVERLAY; THE TECHNICAL OVERLAY; CONCLUSION; Chapter 13: The Unified Pairs Trading Theory; PUTTING IT ALL TOGETHER; FORMULATE THE SELECTION CRITERIA; DETERMINE THE CANDIDATES; THE OVERLAYS; EXECUTE THE TRADE; MANAGE THE TRADE; CLOSE THE TRADE
CONCLUSIONPart V: Advanced Strategies and Examples; Chapter 14: Options Basics: Terms and Strategies; BASIC TERMS; BASIC STRATEGIES; CONCLUSION; Chapter 15: Pairs Trading with Options; THE OPTIONS OVERLAY; PAIRS OPTIONS STRATEGIES; CALLS AND PUTS; PAIRS TRADING WITH VERTICAL SPREADS; BACK SPREADS; COMBINING THE STRATEGIES; Chapter 16: Futures and Currencies; EXTRINSIC EVENTS; NATURAL CORRELATION; SPEED; CURRENCIES; OPTIONS ON FUTURES; CONCLUSION; Chapter 17: Trade Examples; THE FUNDAMENTAL TRADE; THE TECHNICAL TRADE; THE BLENDED APPROACH TRADE: APPLICATION OF THE UNIFIED THEORY; USING OPTIONS
CONCLUSION
Record Nr. UNINA-9910143395603321
Ehrman Douglas S. <1976->  
Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The handbook of pairs trading [[electronic resource] ] : strategies using equities, options, and futures / / Douglas S. Ehrman
The handbook of pairs trading [[electronic resource] ] : strategies using equities, options, and futures / / Douglas S. Ehrman
Autore Ehrman Douglas S. <1976->
Pubbl/distr/stampa Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Descrizione fisica 1 online resource (271 p.)
Disciplina 332.64524
Collana Wiley trading series
Soggetto topico Pairs trading
Stocks
ISBN 1-119-20152-7
1-280-31137-1
9786610311378
0-471-77404-9
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Handbook of Pairs Trading; Contents; Introduction; EQUITIES; ADVANCED STRATEGIES; Part I: The Market-Neutral Element; Chapter 1: Pairs Trading: A Brief History; THE GROWTH OF HEDGE FUND INVESTING; ONE HUNDRED YEARS; THE FUTURE; Chapter 2: Market Neutrality; TYPES OF MARKET NEUTRALITY; CHOICE OF SECURITY TYPE; THE ADVANTAGES OF MARKET-NEUTRAL INVESTING; RISKS OF MARKET-NEUTRAL INVESTING; CONCLUSION; Chapter 3: The Market-Neutral Investment Process; THE INITIAL SCREEN; STOCK SELECTION; FUNDAMENTAL ANALYSIS; CONTRARIAN ANALYSIS; MODEL CONSTRUCTION; PORTFOLIO CONSTRUCTION AND OPTIMIZATION
CONCLUSIONChapter 4: Market Neutrality and Pairs Trading; APPLYING PAIRS TO TYPES OF MARKET NEUTRALITY; PAIRS TRADING AND MARKET-NEUTRAL PORTFOLIO CONSTRUCTION; RISK MANAGEMENT; CONCLUSION; Part II: The Arbitrage Element; Arbitrage Factors; SECURITY TYPE; THE EFFICIENT MARKET HYPOTHESIS; TYPES OF ARBITRAGE CONVERGENCE; RISK ANALYSIS; NONCONVERGENCE; NORMALIZING DIVERGENCE; CONCLUSION; Arbitrage and Pairs Trading; RELATIVE-VALUE AND STATISTICAL ARBITRAGE; THE IMPLIED CONVERGENCE OF MATCHED EQUITY PAIRS; NORMALIZING PAIRS DIVERGENCE; CONCLUSION; Part III: The Technical Analysis Element
Chapter 7: Technical Tools and IndicatorsMARKET STRENGTH INDICATORS; MOVING AVERAGE INDICATORS; VOLUME AS AN INDICATOR; CONCLUSION; Chapter 8: The Technicals of Pairs Trading; PAIRS APPLICATION OF MOVING AVERAGE INDICATORS; PRICE TREND IN PAIRS TRADING; CONCLUSION; Part IV: The Unified Theory; Chapter 9: Reviewing the Elements; THE MARKET-NEUTRAL ELEMENT; THE ARBITRAGE ELEMENT; THE TECHNICAL ANALYSIS ELEMENT; Chapter 10: Trading Pairs Fundamentally; THE FUNDAMENTAL APPROACH; FUNDAMENTALS APPLIED; PORTFOLIO CONSTRUCTION; PROBLEMS WITH THE FUNDAMENTAL APPROACH; THE VERDICT
Chapter 11: The Technical ApproachTHE ELEMENTS COMBINED; GETTING STARTED; UNDERSTANDING PAIRS TECHNICALLY; TECHNICAL CHARTING AND MARKET NEUTRALITY; TECHNICAL CHARTING AND RELATIVE-VALUE ARBITRAGE; APPLYING OTHER TECHNICAL INDICATORS; SELECTING PROFIT OBJECTIVE AND STOP-LOSS LEVELS; UNIFYING THE APPROACH; Chapter 12: The Overlays; THE FUNDAMENTAL OVERLAY; THE TECHNICAL OVERLAY; CONCLUSION; Chapter 13: The Unified Pairs Trading Theory; PUTTING IT ALL TOGETHER; FORMULATE THE SELECTION CRITERIA; DETERMINE THE CANDIDATES; THE OVERLAYS; EXECUTE THE TRADE; MANAGE THE TRADE; CLOSE THE TRADE
CONCLUSIONPart V: Advanced Strategies and Examples; Chapter 14: Options Basics: Terms and Strategies; BASIC TERMS; BASIC STRATEGIES; CONCLUSION; Chapter 15: Pairs Trading with Options; THE OPTIONS OVERLAY; PAIRS OPTIONS STRATEGIES; CALLS AND PUTS; PAIRS TRADING WITH VERTICAL SPREADS; BACK SPREADS; COMBINING THE STRATEGIES; Chapter 16: Futures and Currencies; EXTRINSIC EVENTS; NATURAL CORRELATION; SPEED; CURRENCIES; OPTIONS ON FUTURES; CONCLUSION; Chapter 17: Trade Examples; THE FUNDAMENTAL TRADE; THE TECHNICAL TRADE; THE BLENDED APPROACH TRADE: APPLICATION OF THE UNIFIED THEORY; USING OPTIONS
CONCLUSION
Record Nr. UNINA-9910830121703321
Ehrman Douglas S. <1976->  
Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
The handbook of pairs trading : strategies using equities, options, and futures / / Douglas S. Ehrman
The handbook of pairs trading : strategies using equities, options, and futures / / Douglas S. Ehrman
Autore Ehrman Douglas S. <1976->
Pubbl/distr/stampa Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Descrizione fisica 1 online resource (271 p.)
Disciplina 332.64/5
Collana Wiley trading series
Soggetto topico Pairs trading
Stocks
ISBN 9786610311378
9781119201526
1119201527
9781280311376
1280311371
9780471774044
0471774049
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto The Handbook of Pairs Trading; Contents; Introduction; EQUITIES; ADVANCED STRATEGIES; Part I: The Market-Neutral Element; Chapter 1: Pairs Trading: A Brief History; THE GROWTH OF HEDGE FUND INVESTING; ONE HUNDRED YEARS; THE FUTURE; Chapter 2: Market Neutrality; TYPES OF MARKET NEUTRALITY; CHOICE OF SECURITY TYPE; THE ADVANTAGES OF MARKET-NEUTRAL INVESTING; RISKS OF MARKET-NEUTRAL INVESTING; CONCLUSION; Chapter 3: The Market-Neutral Investment Process; THE INITIAL SCREEN; STOCK SELECTION; FUNDAMENTAL ANALYSIS; CONTRARIAN ANALYSIS; MODEL CONSTRUCTION; PORTFOLIO CONSTRUCTION AND OPTIMIZATION
CONCLUSIONChapter 4: Market Neutrality and Pairs Trading; APPLYING PAIRS TO TYPES OF MARKET NEUTRALITY; PAIRS TRADING AND MARKET-NEUTRAL PORTFOLIO CONSTRUCTION; RISK MANAGEMENT; CONCLUSION; Part II: The Arbitrage Element; Arbitrage Factors; SECURITY TYPE; THE EFFICIENT MARKET HYPOTHESIS; TYPES OF ARBITRAGE CONVERGENCE; RISK ANALYSIS; NONCONVERGENCE; NORMALIZING DIVERGENCE; CONCLUSION; Arbitrage and Pairs Trading; RELATIVE-VALUE AND STATISTICAL ARBITRAGE; THE IMPLIED CONVERGENCE OF MATCHED EQUITY PAIRS; NORMALIZING PAIRS DIVERGENCE; CONCLUSION; Part III: The Technical Analysis Element
Chapter 7: Technical Tools and IndicatorsMARKET STRENGTH INDICATORS; MOVING AVERAGE INDICATORS; VOLUME AS AN INDICATOR; CONCLUSION; Chapter 8: The Technicals of Pairs Trading; PAIRS APPLICATION OF MOVING AVERAGE INDICATORS; PRICE TREND IN PAIRS TRADING; CONCLUSION; Part IV: The Unified Theory; Chapter 9: Reviewing the Elements; THE MARKET-NEUTRAL ELEMENT; THE ARBITRAGE ELEMENT; THE TECHNICAL ANALYSIS ELEMENT; Chapter 10: Trading Pairs Fundamentally; THE FUNDAMENTAL APPROACH; FUNDAMENTALS APPLIED; PORTFOLIO CONSTRUCTION; PROBLEMS WITH THE FUNDAMENTAL APPROACH; THE VERDICT
Chapter 11: The Technical ApproachTHE ELEMENTS COMBINED; GETTING STARTED; UNDERSTANDING PAIRS TECHNICALLY; TECHNICAL CHARTING AND MARKET NEUTRALITY; TECHNICAL CHARTING AND RELATIVE-VALUE ARBITRAGE; APPLYING OTHER TECHNICAL INDICATORS; SELECTING PROFIT OBJECTIVE AND STOP-LOSS LEVELS; UNIFYING THE APPROACH; Chapter 12: The Overlays; THE FUNDAMENTAL OVERLAY; THE TECHNICAL OVERLAY; CONCLUSION; Chapter 13: The Unified Pairs Trading Theory; PUTTING IT ALL TOGETHER; FORMULATE THE SELECTION CRITERIA; DETERMINE THE CANDIDATES; THE OVERLAYS; EXECUTE THE TRADE; MANAGE THE TRADE; CLOSE THE TRADE
CONCLUSIONPart V: Advanced Strategies and Examples; Chapter 14: Options Basics: Terms and Strategies; BASIC TERMS; BASIC STRATEGIES; CONCLUSION; Chapter 15: Pairs Trading with Options; THE OPTIONS OVERLAY; PAIRS OPTIONS STRATEGIES; CALLS AND PUTS; PAIRS TRADING WITH VERTICAL SPREADS; BACK SPREADS; COMBINING THE STRATEGIES; Chapter 16: Futures and Currencies; EXTRINSIC EVENTS; NATURAL CORRELATION; SPEED; CURRENCIES; OPTIONS ON FUTURES; CONCLUSION; Chapter 17: Trade Examples; THE FUNDAMENTAL TRADE; THE TECHNICAL TRADE; THE BLENDED APPROACH TRADE: APPLICATION OF THE UNIFIED THEORY; USING OPTIONS
CONCLUSION
Record Nr. UNINA-9911019385803321
Ehrman Douglas S. <1976->  
Hoboken, N.J., : John Wiley & Sons, Inc., c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Statistical arbitrage [[electronic resource] ] : algorithmic trading insights and techniques / / Andrew Pole
Statistical arbitrage [[electronic resource] ] : algorithmic trading insights and techniques / / Andrew Pole
Autore Pole Andrew <1961->
Pubbl/distr/stampa Hoboken, N.J., : J. Wiley & Sons, c2007
Descrizione fisica 1 online resource (256 p.)
Disciplina 332.6
332.64/5
332.645
Collana Wiley finance series
Soggetto topico Pairs trading
Arbitrage - Mathematical models
Speculation - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 1-118-16073-8
1-119-19707-4
1-281-28436-X
9786611284367
0-470-17546-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9910145276703321
Pole Andrew <1961->  
Hoboken, N.J., : J. Wiley & Sons, c2007
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Statistical arbitrage : algorithmic trading insights and techniques / / Andrew Pole
Statistical arbitrage : algorithmic trading insights and techniques / / Andrew Pole
Autore Pole Andrew <1961->
Pubbl/distr/stampa Hoboken, N.J., : J. Wiley & Sons, c2007
Descrizione fisica 1 online resource (256 p.)
Disciplina 332.64/5
Collana Wiley finance series
Soggetto topico Pairs trading
Arbitrage - Mathematical models
Speculation - Mathematical models
ISBN 9786611284367
9781118160732
1118160738
9781119197072
1119197074
9781281284365
128128436X
9780470175460
047017546X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto 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
Record Nr. UNINA-9911020098403321
Pole Andrew <1961->  
Hoboken, N.J., : J. Wiley & Sons, c2007
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui