Statistical Arbitrage
Algorithmic Trading Insights and Techniques
(Sprache: Englisch)
While 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.
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Produktinformationen zu „Statistical Arbitrage “
While 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.
Klappentext zu „Statistical Arbitrage “
Praise for Statistical Arbitrage"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. Anyone with an interest-professional or otherwise-in 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
"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. His 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. Even we old-timers will learn something."
-Judith Posnikoff, PhD, Managing Director Pacific Alternative Asset Management Company
"Andy Pole delivers a readable and comprehensive history of statistical arbitrage. Using real-life examples and accounts from his decades of experience, this book chronicles the rise in popularity of stat arb, explains its recent struggle for profitability, as well as provides novices with insights into the art and science of building their own models."
-Susan Kaderabek, Portfolio Manager, Franklin Street Partners
"Statistical Arbitrage offers a rare glimpse of insights into the otherwise opaque world of short-term trading strategies. The book provides an excellent balance conceptualizing the mathematics of short-term technical trading strategies with more practical discussions on the recent performance of such strategies. Statistical arbitrage remains for many outsiders, including hedge fund professionals, a 'black box' strategy. Andy Pole has managed to turn black into, if not white, then a lighter shade of gray."
-Christian Thygesen, Managing Director,
... mehr
Investcorp International Inc.
"Andy Pole has extensive practical experience of statistical arbitrage trading together with an ability to explain the underlying theory with great clarity. This book is therefore highly recommended for those looking to master the subject matter."
-Bruce Lockwood, Financial Risk Management
"Andy Pole has extensive practical experience of statistical arbitrage trading together with an ability to explain the underlying theory with great clarity. This book is therefore highly recommended for those looking to master the subject matter."
-Bruce Lockwood, Financial Risk Management
... weniger
Praise for Statistical Arbitrage
"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. Anyone with an interest-professional or otherwise-in 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
"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. His 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. Even we old-timers will learn something."
- Judith Posnikoff, PhD, Managing Director Pacific Alternative Asset Management Company
"Andy Pole delivers a readable and comprehensive history of statistical arbitrage. Using real-life examples and accounts from his decades of experience, this book chronicles the rise in popularity of stat arb, explains its recent struggle for profitability, as well as provides novices with insights into the art and science of building their own models."
- Susan Kaderabek, Portfolio Manager, Franklin Street Partners
"Statistical Arbitrage offers a rare glimpse of insights into the otherwise opaque world of short-term trading strategies. The book provides an excellent balance conceptualizing the mathematics of short-term technical trading strategies with more practical discussions on the recent performance of such strategies. Statistical arbitrage remains for many outsiders, including hedge fund professionals, a 'black box' strategy. Andy Pole has managed to turn black into, if not white, then a lighter shade of gray."
- Christian Thygesen, Managing Director, Investcorp International Inc.
"Andy Pole has extensive practical experience of statistical arbitrage trading together with an ability to explain the underlying theory with great clarity. This book is therefore highly recommended for those looking to master the subject matter."
- Bruce Lockwood, Financial Risk Management
"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. Anyone with an interest-professional or otherwise-in 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
"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. His 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. Even we old-timers will learn something."
- Judith Posnikoff, PhD, Managing Director Pacific Alternative Asset Management Company
"Andy Pole delivers a readable and comprehensive history of statistical arbitrage. Using real-life examples and accounts from his decades of experience, this book chronicles the rise in popularity of stat arb, explains its recent struggle for profitability, as well as provides novices with insights into the art and science of building their own models."
- Susan Kaderabek, Portfolio Manager, Franklin Street Partners
"Statistical Arbitrage offers a rare glimpse of insights into the otherwise opaque world of short-term trading strategies. The book provides an excellent balance conceptualizing the mathematics of short-term technical trading strategies with more practical discussions on the recent performance of such strategies. Statistical arbitrage remains for many outsiders, including hedge fund professionals, a 'black box' strategy. Andy Pole has managed to turn black into, if not white, then a lighter shade of gray."
- Christian Thygesen, Managing Director, Investcorp International Inc.
"Andy Pole has extensive practical experience of statistical arbitrage trading together with an ability to explain the underlying theory with great clarity. This book is therefore highly recommended for those looking to master the subject matter."
- Bruce Lockwood, Financial Risk Management
Inhaltsverzeichnis zu „Statistical Arbitrage “
Preface.Foreword.
Acknowledgments.
Chapter 1. Monte Carlo or Bust.
Chapter 2. Statistical Arbitrage.
Chapter 3. Structural Models.
Chapter 4. Law of Reversion.
Chapter 5. Gauss is Not the God of Reversion.
Chapter 6. Interstock Volatility.
Chapter 7. Quantifying Reversion Opportunities.
Chapter 8. Nobel Difficulties.
Chapter 9. Trinity Troubles.
Chapter 10. Arise Black Boxes.
Chapter 11. Statistical Arbitrage Rising.
Appendix 11.1: Understanding the Cuscore.
Bibliography.
Index.
Autoren-Porträt von Andrew Pole
Andrew Pole is a Managing Director at TIG Advisors, LLC, a registered investment advisor in New York. He specializes in quantitative trading strategies and risk management. This book is the result of his own research and experience running a statistical arbitrage hedge fund for eight years. Pole is also the coauthor of Applied Bayesian Forecasting and Time Series Analysis.
Bibliographische Angaben
- Autor: Andrew Pole
- 2007, 1. Auflage, 256 Seiten, Maße: 16,3 x 23 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470138440
- ISBN-13: 9780470138441
Sprache:
Englisch
Rezension zu „Statistical Arbitrage “
"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)
Pressezitat
"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)
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