Research Catalog

Title

Statistical arbitrage : algorithmic trading insights and techniques / Andrew Pole.

Author

Pole, Andrew, 1961-

Publication

Hoboken, N.J. : John Wiley & Sons, [2007], ©2007.

Items in the Library & Off-site

Holdings

Details

Description

xxiii, 230 pages : illustrations; 24 cm.

Summary

"Through examples and discussions, this guide presents you with an analysis of what statistical arbitrage is and how it has been practiced; a theoretical underpinning for the existence of opportunities and quantification thereof; and an explanation of the shifts in the structure of the U.S. economy with specific focus on the consequences for arbitrage possibilities."--BOOK JACKET.

Series Statement

Wiley finance

Uniform Title

Wiley finance series.

Subjects

• Speculation > Mathematical models
• Arbitrage > Mathematical models
• Pairs trading

Bibliography (note)

• Includes bibliographical references (p. 223) and index.

Contents

Ch. 1. Monte Carlo or Bust -- Beginning -- Whither? And Allusions -- Ch. 2. Statistical Arbitrage -- Noise Models -- Popcorn Process -- Identifying Pairs -- Portfolio Configuration and Risk Control -- Dynamics and Calibration -- Ch. 3. Structural Models -- Formal Forecast Functions -- Exponentially Weighted Moving Average -- Classical Time Series Models -- Which Return? -- A Factor Model -- Stochastic Resonance -- Practical Matters -- Doubling: A Deeper Perspective -- Factor Analysis Primer -- Ch. 4. Law of Reversion -- Model and Result -- Inhomogeneous Variances -- First-Order Serial Correlation -- Nonconstant Distributions -- Applicability of the Result -- Application to U.S. Bond Futures -- App. 4.1. Looking Several Days Ahead -- Ch. 5. Gauss Is Not the God Of Reversion -- Camels and Dromedaries -- Some Bells Clang -- Ch. 6. Interstock Volatility -- Theoretical Explanation -- Ch. 7. Quantifying Reversion Opportunities -- Reversion in a Stationary Random Process -- Nonstationary Processes: Inhomogeneous Variance -- Serial Correlation -- App. 7.1. Details of the Lognormal Case in Example 6 -- Ch. 8. Nobel Difficulties -- Event Risk -- Rise of a New Risk Factor -- Redemption Tension -- The Story of Regulation Fair Disclosure (FD) -- Correlation During Loss Episodes -- Ch. 9. Trinity Troubles -- Decimalization -- Stat. Arb. Arbed Away -- Competition -- Institutional Investors -- Volatility Is the Key -- Temporal Considerations -- Truth in Fiction -- A Litany of Bad Behavior -- A Perspective on 2003 -- Realities of Structural Change -- Ch. 10. Arise Black Boxes -- Modeling Expected Transaction Volume and Market Impact -- Dynamic Updating -- More Black Boxes -- Market Deflation -- Ch. 11. Statistical Arbitrage Rising -- Catastrophe Process -- Catastrophic Forecasts -- Trend Change Identification -- Catastrophe Theoretic Interpretation -- Implications for Risk Management -- App. 11.1. Understanding the Cuscore.

ISBN

• 9780470138441 (cloth)
• 0470138440 (cloth)

LCCN

2007026257

OCLC

• ocn141384011
• SCSB-5932808

Owning Institutions

Columbia University Libraries