统计套利：算法交易的见解与技巧Statistical Arbitrage: Algorithmic Trading Insights and Techniques 下载 pdf 百度网盘 epub 免费 2025 电子版 mobi 在线

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. 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. 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.

Preface

Foreword

Acknowledgments

Chapter 1 Monte Carlo or Bust

Beginning

Whither?And Allusions

Chapter 2 Statistical Arbitrage

Introduction

Noise Models

Popcorn Process

Identifying Pairs

Porrfolio Configuration and Risk Control

Dynamics and Calibration

Chapter 3 Structural Models

Introduction

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

Chapter 4 Law of Reversion

Introduction

Model and Result

Inhomogeous Variances

First-Order Serial Correlation

Nonconstant Distributions

Applicability of the Result

Application to US Bond Futures

……

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 111: Understanding the Cuscore

Bibliography

Index ·

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.

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作者简介：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.

书籍介绍

《统计套利》什么是统计套利？假设，工商银行和建设银行股票价差大于1元的情况很少，那么当市场的价格波动导致建设银行的股票价格比工商银行高出1元时，你可以通过卖出建设银行股票、买进工商银行股票构建投资组合；当两家公司的股票价差回归到1元以内时，做相反的交易，从而获得交易收益。如何通过股指期货和股票联动，利用市场暂时的失灵，获得无风险收益，是很多人的想法。如果想长期获得收益，需要通读本书，理解统计套利的精髓。《统计套利》作者具有多年运作统计套利对冲基金的管理经验，通过阅读本书，你可以探究统计套利的真正含义，了解统计套利的发展历程。更重要的是，在明了统计套利的运作方式和获利机理后，敏锐的投资者可以借此在金融市场中捕捉获利的机会。

·匹配交易的基本原理；

·重要的时间序列模型，从最基本的加权移动平均模型，到复杂的动态因子分析模型；

·爆米花理论、反转理论、突变理论等；·统计套利15年的历程。 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. 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. 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.

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