دانلود کتاب Pairs trading : quantitative methods and analysis

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Title Page
Copyright Page
Preface
Acknowledgments
PART One - Background Material
CHAPTER 1 - Introduction
THE CAPM MODEL
MARKET NEUTRAL STRATEGY
PAIRS TRADING
OUTLINE
AUDIENCE
SUMMARY
FURTHER READING MATERIAL
APPENDIX
DEFINITIONS
FORMULAS
CHAPTER 2 - Time Series
OVERVIEW
AUTOCORRELATION
TIME SERIES MODELS
FORECASTING
GOODNESS OF FIT VERSUS BIAS
MODEL CHOICE
MODELING STOCK PRICES
SUMMARY
FURTHER READING MATERIAL
APPENDIX
CHAPTER 3 - Factor Models
INTRODUCTION
ARBITRAGE PRICING THEORY
THE COVARIANCE MATRIX
APPLICATION: CALCULATING THE RISK ON A PORTFOLIO
APPLICATION: CALCULATION OF PORTFOLIO BETA
APPLICATION: TRACKING BASKET DESIGN
SENSITIVITY ANALYSIS
SUMMARY
FURTHER READING MATERIAL
CHAPTER 4 - Kalman Filtering
INTRODUCTION
THE KALMAN FILTER
THE SCALAR KALMAN FILTER
FILTERING THE RANDOM WALK
APPLICATION: EXAMPLE WITH THE STANDARD & POOR INDEX
SUMMARY
FURTHER READING MATERIAL
APPENDIX
PART Two - Statistical Arbitrage Pairs
CHAPTER 5 - Overview
HISTORY
MOTIVATION
COINTEGRATION
APPLYING THE MODEL
A TRADING STRATEGY
ROAD MAP FOR STRATEGY DESIGN
SUMMARY
FURTHER READING MATERIAL
CHAPTER 6 - Pairs Selection in Equity Markets
INTRODUCTION
COMMON TRENDS COINTEGRATION MODEL
COMMON TRENDS MODEL AND APT
THE DISTANCE MEASURE
INTERPRETING THE DISTANCE MEASURE
RECONCILING THEORY AND PRACTICE
SUMMARY
FURTHER READING MATERIAL
APPENDIX: EIGENVALUE DECOMPOSITION
CHAPTER 7 - Testing For Tradability
INTRODUCTION
THE LINEAR RELATIONSHIP
ESTIMATING THE LINEAR RELATIONSHIP: THE MULTIFACTOR APPROACH
ESTIMATING THE LINEAR RELATIONSHIP: THE REGRESSION APPROACH
TESTING RESIDUAL FOR TRADABILITY
SUMMARY
FURTHER READING MATERIAL
CHAPTER 8 - Trading Design
INTRODUCTION
BAND DESIGN FOR WHITE NOISE
SPREAD DYNAMICS
NONPARAMETRIC APPROACH
REGULARIZATION
TYING UP LOOSE ENDS
SUMMARY
FURTHER READING MATERIAL
PART Three - Risk Arbitrage Pairs
CHAPTER 9 - Risk Arbitrage Mechanics
INTRODUCTION
HISTORY
THE DEAL PROCESS
TRANSACTION TERMS
THE DEAL SPREAD
TRADING STRATEGY
QUANTITATIVE ASPECTS
SUMMARY
FURTHER READING MATERIAL
CHAPTER 10 - Trade Execution
INTRODUCTION
SPECIFYING THE ORDER
VERIFYING THE EXECUTION
EXECUTION DURING THE PRICING PERIOD
SHORT SELLING
SUMMARY
FURTHER READING MATERIAL
APPENDIX - DINIC’S ALGORITHM FOR MAXIMUM FLOW IN A NETWORK
LAZY ALLOCATION ALGORITHM
CHAPTER 11 - The Market Implied Merger Probability
INTRODUCTION
IMPLIED PROBABILITIES AND ARROW-DEBREU THEORY
THE SINGLE-STEP MODEL
THE MULTISTEP MODEL
RECONCILING THEORY AND PRACTICE
RISK MANAGEMENT
SUMMARY
FURTHER READING MATERIAL
APPENDIX
CHAPTER 12 - Spread Inversion
INTRODUCTION
THE PREDICTION EQUATION
THE OBSERVATION EQUATION
APPLYING THE KALMAN FILTER
MODEL SELECTION
APPLICATIONS TO TRADING
SUMMARY
FURTHER READING MATERIAL
APPENDIX
Index