11/20/2023 0 Comments Arbitrage andy shopHis detailed focus on and clever examples of the underlying drivers of stat arb are an invaluable resource for anyone investigating the strategy for the first time. "What a find! Andy Pole provides a remarkable look at the history and evolution of what is frequently considered to be the most opaque of the myriad hedge fund strategies. Anyone with an interestprofessional or otherwisein what goes on inside the black boxes of mathematical trading strategies will enjoy the book." Nick Macleod, Head of Quantitative Research and Risk Management Ermitage Asset Management Jersey Limited "In this lucid, intelligent, and highly readable book, Andrew Pole presents the insights of an experienced and successful exponent of statistical arbitrage, with an uncommon mixture of flair, accessibility, and academic precision. This text refers to an alternate kindle_edition edition. Provides valuable insight into practical model buildingįilled with innovative information and expert advice, Statistical Arbitrage contains essential analysis that will appeal to individuals looking for an overview of this discipline, and to institutional investors looking for critical insights into modeling, risk management, and implementation of this important strategy. Reveals how statistical arbitrage has rebounded through technological developments in algorithmic trading Outlines formal statistical models for more general portfoliosseveral popular models for time series are described, from basic weighted moving averages to dynamic factor analysisĪddresses important questions for quantifying the magnitude of exploitable opportunities in reversion gambitsĬharacterizes the problems that beset statistical arbitrage in 2000 and directly caused its catastrophic drop in returns from 2002 to 2004 Introduces the concept of pairs trading and elaborates on some of its main features Created with the serious financial professional in mind, this well-written resource: Page by page, you'll become familiar with the nuances of modern statistical arbitrage and discover the algorithmic trading techniques you need to succeed in today's markets. economyreflected in the financial marketswith specific focus on the consequences for arbitrage possibilities. Through real-life examples and detailed discussions, this unique guide presents you with a critical analysis of what statistical arbitrage is and how it has been historically practiced a formal theoretical underpinning for the existence of opportunities and quantification thereof and an extensive explanation of the enormous shifts in the structure of the U.S. With new, sustained patterns of stock price dynamics emerging and some old patterns regaining potency, there are plenty of profitable opportunities available for the shrewd statistical arbitrageur.īased on the results of author Andrew Pole's own research and extensive experience running a statistical arbitrage hedge fundin partnership with a group whose own history stretches back to the dawn of what was first called pairs tradingStatistical Arbitrage provides you with comprehensive coverage of this proven investment approach. While statistical arbitrage has faced some tough timesas markets experienced dramatic changes in dynamics beginning in 2000recent developments in algorithmic trading have fueled the resurgence of this discipline.
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