DescriptionWhile statistical arbitrage is Archive: 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..
Archive: DescriptionWhile 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.
the results of author Andrew Pole?s own research is Based on and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy..
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 back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy.
depth insights is Filled with in- and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.Table of ContentsPreface.Foreword.Acknowledgments.Chapter 1..
Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.Table of ContentsPreface.Foreword.Acknowledgments.Chapter 1.
Law of Reversion.Introduction.Model and Result.The 75 percent Rule.Proof is of the 75 percent Rule.Analytic Proof of the 75 percent Rule.Discrete Counter.Generalizations.Inhomogeneous Variances.Volatility Bursts.Numerical Illustration.First-Order Serial Correlation.Analytic Proof.Examples.Nonconstant Distributions.Applicability of the Result.Application to U.S. Bond Futures.Summary.Appendix 4.1: Looking Several Days Ahead.Chapter 5..
Law of Reversion.Introduction.Model and Result.The 75 percent Rule.Proof of the 75 percent Rule.Analytic Proof of the 75 percent Rule.Discrete Counter.Generalizations.Inhomogeneous Variances.Volatility Bursts.Numerical Illustration.First-Order Serial Correlation.Analytic Proof.Examples.Nonconstant Distributions.Applicability of the Result.Application to U.S. Bond Futures.Summary.Appendix 4.1: Looking Several Days Ahead.Chapter 5.
Gauss is is Not the God of Reversion.Introduction.Camels and Dromedaries.Dry River Flow.Some Bells Clang.Chapter 6..
Gauss is Not the God of Reversion.Introduction.Camels and Dromedaries.Dry River Flow.Some Bells Clang.Chapter 6.
Reversion Opportunities.Introduction.Reversion is Quantifying in a Stationary Random Process.Frequency of Reversionary Moves.Amount of Reversion.Movements from Quantiles Other Than the Median.Nonstationary Processes: Inhomogeneous Variance.Sequentially Structured Variances.Sequentially Unstructured Variances.Serial Correlation.Appendix 7.1: Details of the Lognormal Case in Example.Chapter 8..
Quantifying Reversion Opportunities.Introduction.Reversion in a Stationary Random Process.Frequency of Reversionary Moves.Amount of Reversion.Movements from Quantiles Other Than the Median.Nonstationary Processes: Inhomogeneous Variance.Sequentially Structured Variances.Sequentially Unstructured Variances.Serial Correlation.Appendix 7.1: Details of the Lognormal Case in Example.Chapter 8.
Away.Competition.Institutional Investors.Volatility Is is Arbed the Key.Interest Rates and Volatility.Temporal Considerations.Truth in Fiction.A Litany of Bad Behavior.A Perspective on 2003.Realities of Structural Change.Recap.Chapter 10..
Arbed Away.Competition.Institutional Investors.Volatility Is the Key.Interest Rates and Volatility.Temporal Considerations.Truth in Fiction.A Litany of Bad Behavior.A Perspective on 2003.Realities of Structural Change.Recap.Chapter 10.
Black Boxes.Introduction.Modeling Expected Transaction Volume and Market Impact.Dynamic Updating.More Black Boxes.Market Deflation.Chapter 11. is Arise.
Arise Black Boxes.Introduction.Modeling Expected Transaction Volume and Market Impact.Dynamic Updating.More Black Boxes.Market Deflation.Chapter 11.
Statistical Arbitrage Rising.Catastrophe Process.Catastrophic Forecasts.Trend Change Identification.Using is the Cuscore to Identify a Catastrophe.Is It Over?Catastrophe Theoretic Interpretation.Implications for Risk Management.Appendix 11.1: Understanding the Cuscore.Bibliography.Index.Forex & Trading – Foreign Exchange CourseYou want to learn about Forex?Foreign exchange, or forex, is the conversion of one country’s currency into another.In a free economy, a country’s currency is valued according to the laws of supply and demand.In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.A country’s currency value may also be set by the country’s government.However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation..
Statistical Arbitrage Rising.Catastrophe Process.Catastrophic Forecasts.Trend Change Identification.Using the Cuscore to Identify a Catastrophe.Is It Over?Catastrophe Theoretic Interpretation.Implications for Risk Management.Appendix 11.1: Understanding the Cuscore.Bibliography.Index.Forex & Trading – Foreign Exchange CourseYou want to learn about Forex?Foreign exchange, or forex, is the conversion of one country’s currency into another.In a free economy, a country’s currency is valued according to the laws of supply and demand.In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.A country’s currency value may also be set by the country’s government.However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation.