Four Essays in Statistical Arbitrage in Equity Markets PDF Download
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Author: Jozef Rudy
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Jozef Rudy
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Umit Gurkan Gurun
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 360
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Book Description
Author: Andrew Pole
Publisher: John Wiley & Sons
ISBN: 1118160738
Category : Business & Economics
Languages : en
Pages : 230
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Book Description
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.
Author: Hamad Alsayed
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Asadullah Khalid
Publisher: BoD – Books on Demand
ISBN: 0854665668
Category : Mathematics
Languages : en
Pages : 204
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Book Description
Applications and Optimizations of Kalman Filter and Their Variants is a comprehensive exploration of Kalman filters’ diverse applications and refined optimizations across various domains. It meticulously examines their role in microgrid management, offering adaptive estimation techniques for effective control strategies. The book then delves into distribution system state estimation, showcasing an innovative stochastic programming model using extended Kalman filters for reliable monitoring and control. In the realm of financial modeling, readers gain insights into how Kalman filters enhance trading strategies like pairs trading and partial co-integration, bridging finance and analytics. Moreover, the book discusses Kalman filter optimization, addressing challenges in object tracking and error reduction with techniques like dynamic stochastic approximation algorithms and M-robust estimates. With practical examples and interdisciplinary approaches, this book serves as a valuable resource for researchers, practitioners, and students looking to harness Kalman filter techniques for enhanced efficiency and accuracy across diverse fields.
Author: Christopher Krauß
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Jan Becker
Publisher:
ISBN: 9783656201991
Category :
Languages : en
Pages : 62
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Book Description
Bachelor Thesis from the year 2010 in the subject Business economics - Investment and Finance, grade: -, University of Frankfurt (Main), language: English, abstract: In the following bachelor's thesis I am going to present a short survey of the hedge fund industry, its regulation and the existent hedge fund strategies. Especially statistical arbitrage is explained in further detail and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is so often used in daily option trading, derivate pricing and risk management. Because investment returns are not equally distributed over time, sources for statistical arbitrage occur. The semi-variance model takes skewness into account and provides higher returns at lower volatility than the Garch model. The concept is aimed to be a synopsis of mean reversion and chart pattern detection. The computer model is generated with respect to Brownian motion and technical analysis and provide significant returns to the investment. As market efficiency hypothesis states the impossibility of arbitrage opportunities over the long run, on the other hand market anomalies significantly outstand. Connecting both elements creates a profitable trading system. The combination of both approaches delivers a sensible hedge fund concept. The out-ofsample backtest verifies out-performance and implies the need for further research in the area of higher moment CAPM and additional market timing strategies as sources of statistical arbitrage.
Author: Seoungbyung Park
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Ganapathy Vidyamurthy
Publisher: John Wiley & Sons
ISBN: 9780471460671
Category : Business & Economics
Languages : en
Pages : 230
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Book Description
The first in-depth analysis of pairs trading Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly. Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Author: David A. Bowen
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 281
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Book Description
If equity returns contain predictable components, then there could be opportunities for investors to capitalize using a number of strategies based on past price history. This study tests UK equity returns from 1965-2007 for signs of serial correlation and predictability. Returns are tested for signs of predictability using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong serial correlation in the returns, as well as signs of predictability based on statistically significant variance ratio test statistics. With UK equity data displaying signs of predictability, a strategy based on past price movements is simulated. Pairs trading in the UK equity market is examined at the daily pricing frequency as well as the intra-day price frequency. For the daily sample, the performance of pairs trading in the UK equity market is examined using a sample of FTSE All-Share constituent stocks from 1979 to 2008. The strategy produces an average annual return of 8.88%, and outperforms the market both in returns and risk levels over the full sample period. The returns produce low exposure to known equity risk factors. For the intra-day sample, the characteristics of high frequency pairs trading are examined using a sample of FTSE100 constituent stocks for the period January to December 2007. Results indicate the excess returns of the strategy are extremely sensitive both to transaction costs and speed of execution. When a moderate level of transaction costs (10 basis points) is specified, the excess returns of the strategy are reduced by more than 50%. Likewise, when a wait one period restriction is implemented on execution, the returns of the strategy are eliminated. A majority of the returns are reported in the first hour of the trading period.
