Pairs_Trading_Quantitative Methods and Analysis教材.pdf
7/26/04 2:20 PM Page iii Pairs Trading Quantitative Methods and Analysis GANAPATHY VIDYAMURTHY John Wiley & Sons, Inc. 7/26/04 2:20 PM Page v Contents Preface ix Acknowledgments xi PART ONE Background Material CHAPTER 1 Introduction 3 The CAPM Model 3 Market Neutral Strategy 5 Pairs Trading 8 Outline 9 Audience 10 CHAPTER 2 Time Series 14 Overview 14 Autocorrelation 15 Time Series Models 16 Forecasting 24 Goodness of Fit versus Bias 25 Model Choice 26 Modeling Stock Prices 30 CHAPTER 3 Factor Models 37 Introduction 37 Arbitrage Pricing Theory 39 The Covariance Matrix 42 Application: Calculating the Risk on a Portfolio 44 Application: Calculation of Portfolio Beta 47 Application: Tracking Basket Design 49 Sensitivity Analysis 50 v 7/26/04 2:20 PM Page vi vi CONTENTS CHAPTER 4 Kalman Filtering 52 Introduction 52 The Kalman Filter 54 The Scalar Kalman Filter 57 Filtering the Random Walk 60 Application: Example with the Standard & Poor Index 64 PART TWO Statistical Arbitrage Pairs CHAPTER 5 Overview 73 History 73 Motivation 74 Cointegration 75 Applying the Model 80 A Trading Strategy 82 Road Map for Strategy Design 83 CHAPTER 6 Pairs Selection in Equity Markets 85 Introduction 85 Common Trends Cointegration Model 87 Common Trends Model and APT 90 The Distance Measure 93 Interpreting the Distance Measure 94 Reconciling Theory and Practice 97 CHAPTER 7 Testing for Tradability 104 Introduction 104 The Linear Relationship 106 Estimating the Linear Relationship: The Multifactor Approach 107 Estimating the Linear Relationship: The Regression Approach 108 Testing Residual for Tradability 112 CHAPTER 8 Trading Design 118 Introduction 118 7/26/04 2:20 PM Page vii Contents vii Band Design for White Noise 119 Spread Dynamics 122 Nonparametric Approach 126 Regul
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