(Wiley Finance 035)Pairs Trading-Quantitative Methods and Analysis

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1、fm_01_4273.qxd7/26/042:20PMPageiiiPairsTradingQuantitativeMethodsandAnalysisGANAPATHYVIDYAMURTHYJohnWiley&Sons,Inc.fm_01_4273.qxd7/26/042:20PMPagevContentsPrefaceixAcknowledgmentsxiPARTONEBackgroundMaterialCHAPTER1Introduction3TheCAPMModel3MarketNeutralSt

2、rategy5PairsTrading8Outline9Audience10CHAPTER2TimeSeries14Overview14Autocorrelation15TimeSeriesModels16Forecasting24GoodnessofFitversusBias25ModelChoice26ModelingStockPrices30CHAPTER3FactorModels37Introduction37ArbitragePricingTheory39TheCovarianceMatrix4

3、2Application:CalculatingtheRiskonaPortfolio44Application:CalculationofPortfolioBeta47Application:TrackingBasketDesign49SensitivityAnalysis50vfm_01_4273.qxd7/26/042:20PMPageviviCONTENTSCHAPTER4KalmanFiltering52Introduction52TheKalmanFilter54TheScalarKalman

4、Filter57FilteringtheRandomWalk60Application:ExamplewiththeStandard&PoorIndex64PARTTWOStatisticalArbitragePairsCHAPTER5Overview73History73Motivation74Cointegration75ApplyingtheModel80ATradingStrategy82RoadMapforStrategyDesign83CHAPTER6PairsSelectioninEquit

5、yMarkets85Introduction85CommonTrendsCointegrationModel87CommonTrendsModelandAPT90TheDistanceMeasure93InterpretingtheDistanceMeasure94ReconcilingTheoryandPractice97CHAPTER7TestingforTradability104Introduction104TheLinearRelationship106EstimatingtheLinearRe

6、lationship:TheMultifactorApproach107EstimatingtheLinearRelationship:TheRegressionApproach108TestingResidualforTradability112CHAPTER8TradingDesign118Introduction118fm_01_4273.qxd7/26/042:20PMPageviiContentsviiBandDesignforWhiteNoise119SpreadDynamics122Nonp

7、arametricApproach126Regularization130TyingUpLooseEnds135PARTTHREERiskArbitragePairsCHAPTER9RiskArbitrageMechanics139Introduction139History140TheDealProcess141TransactionTerms142TheDealSpread145TradingStrategy147QuantitativeAspects149CHAPTER10TradeExecutio

8、n151Introduction151SpecifyingtheOrder152VerifyingtheExecution155ExecutionDuringthePricingPeriod161ShortSelling166CHAPTER11TheMarketImpliedMergerProbability171Introduction171ImpliedProbabilitiesandArrow-DebreuTheory1