{"product_id":"statistical-arbitrage-algorithmic-trading-insights-and-techniques-411-wiley-finance-9780470138441","title":"Statistical Arbitrage Algorithmic Trading","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eWhile 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\"Over time, anything that creates an edge for a particular group of bettors—including the most astute observers of horse flesh—gets factored into the odds and becomes unreliable as a system. That's the classic argument of random walk theorists, and the equally classic response is that there's a lot of money to be made before that factoring is complete. This book is a contribution to that never-ending debate.\" (Hedgeworld.com)\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003ePreface.  \u003cp\u003eForeword.\u003c\/p\u003e \u003cp\u003eAcknowledgments.\u003c\/p\u003e \u003cp\u003eChapter 1. Monte Carlo or Bust.\u003c\/p\u003e \u003cp\u003eBeginning.\u003c\/p\u003e \u003cp\u003eWhither? And Allusions.\u003c\/p\u003e \u003cp\u003eChapter 2. Statistical Arbitrage.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eNoise Models.\u003c\/p\u003e \u003cp\u003eReverse Bets.\u003c\/p\u003e \u003cp\u003eMultiple Bets.\u003c\/p\u003e \u003cp\u003eRule Calibration.\u003c\/p\u003e \u003cp\u003eSpread Margins for Trade Rules.\u003c\/p\u003e \u003cp\u003ePopcorn Process.\u003c\/p\u003e \u003cp\u003eIdentifying Pairs.\u003c\/p\u003e \u003cp\u003eRefining Pair Selection.\u003c\/p\u003e \u003cp\u003eEvent Analysis.\u003c\/p\u003e \u003cp\u003eCorrelation Search in the Twenty-First Century.\u003c\/p\u003e \u003cp\u003ePortfolio Configuration and Risk Control.\u003c\/p\u003e \u003cp\u003eExposure to Market Factors.\u003c\/p\u003e \u003cp\u003eMarket Impact.\u003c\/p\u003e \u003cp\u003eRisk Control Using Event Correlations.\u003c\/p\u003e \u003cp\u003eDynamics and Calibration.\u003c\/p\u003e \u003cp\u003eEvolutionary Operation: Single Parameter Illustration.\u003c\/p\u003e \u003cp\u003eChapter 3. Structural Models.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eFormal Forecast Functions.\u003c\/p\u003e \u003cp\u003eExponentially Weighted Moving Average.\u003c\/p\u003e \u003cp\u003eClassical Time Series Models.\u003c\/p\u003e \u003cp\u003eAutoregression and Cointegration.\u003c\/p\u003e \u003cp\u003eDynamic Linear Model.\u003c\/p\u003e \u003cp\u003eVolatility Modeling.\u003c\/p\u003e \u003cp\u003ePattern Finding Techniques.\u003c\/p\u003e \u003cp\u003eFractal Analysis.\u003c\/p\u003e \u003cp\u003eWhich Return?\u003c\/p\u003e \u003cp\u003eA Factor Model.\u003c\/p\u003e \u003cp\u003eFactor Analysis.\u003c\/p\u003e \u003cp\u003eDefactored Returns.\u003c\/p\u003e \u003cp\u003ePrediction Model.\u003c\/p\u003e \u003cp\u003eStochastic Resonance.\u003c\/p\u003e \u003cp\u003ePractical Matters.\u003c\/p\u003e \u003cp\u003eDoubling: A Deeper Perspective.\u003c\/p\u003e \u003cp\u003eFactor Analysis Primer.\u003c\/p\u003e \u003cp\u003ePrediction Model for Defactored Returns.\u003c\/p\u003e \u003cp\u003eChapter 4. Law of Reversion.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eModel and Result.\u003c\/p\u003e \u003cp\u003eThe 75 percent Rule.\u003c\/p\u003e \u003cp\u003eProof of the 75 percent Rule.\u003c\/p\u003e \u003cp\u003eAnalytic Proof of the 75 percent Rule.\u003c\/p\u003e \u003cp\u003eDiscrete Counter.\u003c\/p\u003e \u003cp\u003eGeneralizations.\u003c\/p\u003e \u003cp\u003eInhomogeneous Variances.\u003c\/p\u003e \u003cp\u003eVolatility Bursts.\u003c\/p\u003e \u003cp\u003eNumerical Illustration.\u003c\/p\u003e \u003cp\u003eFirst-Order Serial Correlation.\u003c\/p\u003e \u003cp\u003eAnalytic Proof.\u003c\/p\u003e \u003cp\u003eExamples.\u003c\/p\u003e \u003cp\u003eNonconstant Distributions.\u003c\/p\u003e \u003cp\u003eApplicability of the Result.\u003c\/p\u003e \u003cp\u003eApplication to U.S. Bond Futures.\u003c\/p\u003e \u003cp\u003eSummary.\u003c\/p\u003e \u003cp\u003eAppendix 4.1: Looking Several Days Ahead.\u003c\/p\u003e \u003cp\u003eChapter 5. Gauss is Not the God of Reversion.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eCamels and Dromedaries.\u003c\/p\u003e \u003cp\u003eDry River Flow.\u003c\/p\u003e \u003cp\u003eSome Bells Clang.\u003c\/p\u003e \u003cp\u003eChapter 6. Interstock Volatility.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eTheoretical Explanation.\u003c\/p\u003e \u003cp\u003eTheory versus Practice.\u003c\/p\u003e \u003cp\u003eFinish the Theory.\u003c\/p\u003e \u003cp\u003eFinish the Examples.\u003c\/p\u003e \u003cp\u003ePrimer on Measuring Spread Volatility.\u003c\/p\u003e \u003cp\u003eChapter 7. Quantifying Reversion Opportunities.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eReversion in a Stationary Random Process.\u003c\/p\u003e \u003cp\u003eFrequency of Reversionary Moves.\u003c\/p\u003e \u003cp\u003eAmount of Reversion.\u003c\/p\u003e \u003cp\u003eMovements from Quantiles Other Than the Median.\u003c\/p\u003e \u003cp\u003eNonstationary Processes: Inhomogeneous Variance.\u003c\/p\u003e \u003cp\u003eSequentially Structured Variances.\u003c\/p\u003e \u003cp\u003eSequentially Unstructured Variances.\u003c\/p\u003e \u003cp\u003eSerial Correlation.\u003c\/p\u003e \u003cp\u003eAppendix 7.1: Details of the Lognormal Case in Example.\u003c\/p\u003e \u003cp\u003eChapter 8. Nobel Difficulties.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eEvent Risk.\u003c\/p\u003e \u003cp\u003eWill Narrowing Spreads Guarantee Profits?\u003c\/p\u003e \u003cp\u003eRise of a New Risk Factor.\u003c\/p\u003e \u003cp\u003eRedemption Tension.\u003c\/p\u003e \u003cp\u003eSupercharged Destruction.\u003c\/p\u003e \u003cp\u003eThe Story of Regulation Fair Disclosure (FD).\u003c\/p\u003e \u003cp\u003eCorrelation During Loss Episodes.\u003c\/p\u003e \u003cp\u003eChapter 9. Trinity Troubles.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eDecimalization.\u003c\/p\u003e \u003cp\u003eEuropean Experience.\u003c\/p\u003e \u003cp\u003eAdvocating the Devil.\u003c\/p\u003e \u003cp\u003eStat. Arb. Arbed Away.\u003c\/p\u003e \u003cp\u003eCompetition.\u003c\/p\u003e \u003cp\u003eInstitutional Investors.\u003c\/p\u003e \u003cp\u003eVolatility Is the Key.\u003c\/p\u003e \u003cp\u003eInterest Rates and Volatility.\u003c\/p\u003e \u003cp\u003eTemporal Considerations.\u003c\/p\u003e \u003cp\u003eTruth in Fiction.\u003c\/p\u003e \u003cp\u003eA Litany of Bad Behavior.\u003c\/p\u003e \u003cp\u003eA Perspective on 2003.\u003c\/p\u003e \u003cp\u003eRealities of Structural Change.\u003c\/p\u003e \u003cp\u003eRecap.\u003c\/p\u003e \u003cp\u003eChapter 10. Arise Black Boxes.\u003c\/p\u003e \u003cp\u003eIntroduction.\u003c\/p\u003e \u003cp\u003eModeling Expected Transaction Volume and Market Impact.\u003c\/p\u003e \u003cp\u003eDynamic Updating.\u003c\/p\u003e \u003cp\u003eMore Black Boxes.\u003c\/p\u003e \u003cp\u003eMarket Deflation.\u003c\/p\u003e \u003cp\u003eChapter 11. Statistical Arbitrage Rising.\u003c\/p\u003e \u003cp\u003eCatastrophe Process.\u003c\/p\u003e \u003cp\u003eCatastrophic Forecasts.\u003c\/p\u003e \u003cp\u003eTrend Change Identification.\u003c\/p\u003e \u003cp\u003eUsing the Cuscore to Identify a Catastrophe.\u003c\/p\u003e \u003cp\u003eIs It Over?\u003c\/p\u003e \u003cp\u003eCatastrophe Theoretic Interpretation.\u003c\/p\u003e \u003cp\u003eImplications for Risk Management.\u003c\/p\u003e \u003cp\u003eAppendix 11.1: Understanding the Cuscore.\u003c\/p\u003e \u003cp\u003eBibliography.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402294665559,"sku":"9780470138441","price":67.5,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470138441.jpg?v=1730479973","url":"https:\/\/bookcurl.com\/products\/statistical-arbitrage-algorithmic-trading-insights-and-techniques-411-wiley-finance-9780470138441","provider":"Book Curl","version":"1.0","type":"link"}