{"product_id":"pairs-trading-9780471460671","title":"Pairs Trading","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eThe first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003ePreface.  \u003cp\u003eAcknowledgments.\u003c\/p\u003e \u003cp\u003ePART ONE: BACKGROUND MATERIAL.\u003c\/p\u003e \u003cp\u003eChapter 1. Introduction.\u003c\/p\u003e \u003cp\u003eThe CAPM Model.\u003c\/p\u003e \u003cp\u003eMarket Neutral Strategy.\u003c\/p\u003e \u003cp\u003ePairs Trading.\u003c\/p\u003e \u003cp\u003eOutline.\u003c\/p\u003e \u003cp\u003eAudience.\u003c\/p\u003e \u003cp\u003eChapter 2. Time Series.\u003c\/p\u003e \u003cp\u003eOverview.\u003c\/p\u003e \u003cp\u003eAutocorrelation.\u003c\/p\u003e \u003cp\u003eTime Series Models.\u003c\/p\u003e \u003cp\u003eForecasting.\u003c\/p\u003e \u003cp\u003eGoodness of Fit versus Bias.\u003c\/p\u003e \u003cp\u003eModel Choice.\u003c\/p\u003e \u003cp\u003eModeling Stock Prices.\u003c\/p\u003e \u003cp\u003eChapter 3. Factor Models.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eArbitrage Pricing Theory.\u003c\/p\u003e \u003cp\u003eThe Covariance Matrix.\u003c\/p\u003e \u003cp\u003eApplication: Calculating the Risk on a Portfolio.\u003c\/p\u003e \u003cp\u003eApplication: Calculation of Portfolio Beta.\u003c\/p\u003e \u003cp\u003eApplication: Tracking Basket Design.\u003c\/p\u003e \u003cp\u003eSensitivity Analysis.\u003c\/p\u003e \u003cp\u003eChapter 4. Kalman Filtering.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eThe Kalman Filter.\u003c\/p\u003e \u003cp\u003eThe Scalar Kalman Filter.\u003c\/p\u003e \u003cp\u003eFiltering the Random Walk.\u003c\/p\u003e \u003cp\u003eApplication: Example with the Standard \u0026amp; Poor Index.\u003c\/p\u003e \u003cp\u003ePART TWO: STATISTICAL ARBITRAGE.\u003c\/p\u003e \u003cp\u003eChapter 5. Overview.\u003c\/p\u003e \u003cp\u003eHistory.\u003c\/p\u003e \u003cp\u003eMotivation.\u003c\/p\u003e \u003cp\u003eCointegration.\u003c\/p\u003e \u003cp\u003eApplying the Model.\u003c\/p\u003e \u003cp\u003eA Trading Strategy.\u003c\/p\u003e \u003cp\u003eRoad Map for Strategy Design.\u003c\/p\u003e \u003cp\u003eChapter 6. Pairs Selection in Equity Markets.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eCommon Trends Cointegration Model.\u003c\/p\u003e \u003cp\u003eCommon Trends Model and APT.\u003c\/p\u003e \u003cp\u003eThe Distance Measure.\u003c\/p\u003e \u003cp\u003eInterpreting the Distance Measure.\u003c\/p\u003e \u003cp\u003eReconciling Theory and Practice.\u003c\/p\u003e \u003cp\u003eChapter 7. Testing for Tradability.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eThe Linear Relationship.\u003c\/p\u003e \u003cp\u003eEstimating the Linear Relationship: The Multifactor Approach.\u003c\/p\u003e \u003cp\u003eEstimating the Linear Relationship: The Regression Approach.\u003c\/p\u003e \u003cp\u003eTesting Residual for Tradability.\u003c\/p\u003e \u003cp\u003eChapter 8. Trading Design.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eBand Design for White Noise.\u003c\/p\u003e \u003cp\u003eSpread Dynamics.\u003c\/p\u003e \u003cp\u003eNonparametric Approach.\u003c\/p\u003e \u003cp\u003eRegularization.\u003c\/p\u003e \u003cp\u003eTying Up Loose Ends.\u003c\/p\u003e \u003cp\u003ePART THREE: RISK ARBITRAGE PAIRS.\u003c\/p\u003e \u003cp\u003eChapter 9. Risk Arbitrage Mechanics.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eHistory.\u003c\/p\u003e \u003cp\u003eThe Deal Process.\u003c\/p\u003e \u003cp\u003eTransaction Terms.\u003c\/p\u003e \u003cp\u003eThe Deal Spread.\u003c\/p\u003e \u003cp\u003eTrading Strategy.\u003c\/p\u003e \u003cp\u003eQuantitative Aspects.\u003c\/p\u003e \u003cp\u003eChapter 10. Trade Execution.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eSpecifying the Order.\u003c\/p\u003e \u003cp\u003eVerifying the Execution.\u003c\/p\u003e \u003cp\u003eExecution During the Pricing Period.\u003c\/p\u003e \u003cp\u003eShort Selling.\u003c\/p\u003e \u003cp\u003eChapter 11. The Market Implied Merger Probability.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eImplied Probabilities and Arrow-Debreu Theory.\u003c\/p\u003e \u003cp\u003eThe Single-Step Model.\u003c\/p\u003e \u003cp\u003eThe Multistep Model.\u003c\/p\u003e \u003cp\u003eReconciling Theory and Practice.\u003c\/p\u003e \u003cp\u003eRisk Management.\u003c\/p\u003e \u003cp\u003eChapter 12. Spread Inversion.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eThe Prediction Equation.\u003c\/p\u003e \u003cp\u003eThe Observation Equation.\u003c\/p\u003e \u003cp\u003eApplying the Kalman Filter.\u003c\/p\u003e \u003cp\u003eModel Selection.\u003c\/p\u003e \u003cp\u003eApplications to Trading.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":48864648855895,"sku":"9780471460671","price":78.75,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780471460671.jpg?v=1722272890","url":"https:\/\/bookcurl.com\/products\/pairs-trading-9780471460671","provider":"Book Curl","version":"1.0","type":"link"}