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Statistical Arbitrage: Algorithmic Trading Insights and Techniques by Pole: New
US $97.72
Approximately£76.75
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Located in: Sparks, Nevada, United States
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Estimated between Fri, 7 Jun and Wed, 12 Jun to 43230
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eBay item number:402983406520
Item specifics
- Condition
- Publication Date
- 2007-10-01
- Pages
- 256
- ISBN
- 9780470138441
- Book Title
- Statistical Arbitrage : Algorithmic Trading Insights and Techniques
- Item Length
- 9.1in
- Publisher
- Wiley & Sons, Incorporated, John
- Publication Year
- 2007
- Format
- Hardcover
- Language
- English
- Item Height
- 1.1in
- Genre
- Business & Economics
- Topic
- Finance / General, Investments & Securities / Analysis & Trading Strategies
- Item Width
- 6.4in
- Item Weight
- 15.2 Oz
- Number of Pages
- 256 Pages
About this product
Product Information
Praise for Statistical Arbitrage "In this lucid, intelligent, and highly readable book, Andrew Pole presents the insights of an experienced and successful exponent of statistical arbitrage, with an uncommon mixture of flair, accessibility, and academic precision. Anyone with an interest professional or otherwise in what goes on inside the black boxes of mathematical trading strategies will enjoy the book." Nick Macleod, Head of Quantitative Research and Risk Management Ermitage Asset Management Jersey Limited "What a find! Andy Pole provides a remarkable look at the history and evolution of what is frequently considered to be the most opaque of the myriad hedge fund strategies. His detailed focus on and clever examples of the underlying drivers of stat arb are an invaluable resource for anyone investigating the strategy for the first time. Even we old-timers will learn something." Judith Posnikoff, PhD, Managing Director Pacific Alternative Asset Management Company "Andy Pole delivers a readable and comprehensive history of statistical arbitrage. Using real-life examples and accounts from his decades of experience, this book chronicles the rise in popularity of stat arb, explains its recent struggle for profitability, as well as provides novices with insights into the art and science of building their own models." Susan Kaderabek, Portfolio Manager, Franklin Street Partners "Statistical Arbitrage offers a rare glimpse of insights into the otherwise opaque world of short-term trading strategies. The book provides an excellent balance conceptualizing the mathematics of short-term technical trading strategies with more practical discussions on the recent performance of such strategies. Statistical arbitrage remains for many outsiders, including hedge fund professionals, a black box strategy. Andy Pole has managed to turn black into, if not white, then a lighter shade of gray." Christian Thygesen, Managing Director, Investcorp International Inc. "Andy Pole has extensive practical experience of statistical arbitrage trading together with an ability to explain the underlying theory with great clarity. This book is therefore highly recommended for those looking to master the subject matter." Bruce Lockwood, Financial Risk Management
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0470138440
ISBN-13
9780470138441
eBay Product ID (ePID)
59930211
Product Key Features
Book Title
Statistical Arbitrage : Algorithmic Trading Insights and Techniques
Format
Hardcover
Language
English
Topic
Finance / General, Investments & Securities / Analysis & Trading Strategies
Publication Year
2007
Genre
Business & Economics
Number of Pages
256 Pages
Dimensions
Item Length
9.1in
Item Height
1.1in
Item Width
6.4in
Item Weight
15.2 Oz
Additional Product Features
Series Volume Number
411
Lc Classification Number
Hg4661.P65 2007
Reviews
"Over time, anything that creates an edge for a particular group of bettors--including the most astute observers of horse flesh--gets factored into the odds and becomes unreliable as a system. That's the classic argument of random walk theorists, and the equally classic response is that there's a lot of money to be made before that factoring is complete. This book is a contribution to that never-ending debate." (Hedgeworld.com)
Table of Content
Preface. Foreword. Acknowledgments. Chapter 1. Monte Carlo or Bust. Beginning. Whither? And Allusions. Chapter 2. Statistical Arbitrage. Introduction. Noise Models. Reverse Bets. Multiple Bets. Rule Calibration. Spread Margins for Trade Rules. Popcorn Process. Identifying Pairs. Refining Pair Selection. Event Analysis. Correlation Search in the Twenty-First Century. Portfolio Configuration and Risk Control. Exposure to Market Factors. Market Impact. Risk Control Using Event Correlations. Dynamics and Calibration. Evolutionary Operation: Single Parameter Illustration. Chapter 3. Structural Models. Introduction. Formal Forecast Functions. Exponentially Weighted Moving Average. Classical Time Series Models. Autoregression and Cointegration. Dynamic Linear Model. Volatility Modeling. Pattern Finding Techniques. Fractal Analysis. Which Return? A Factor Model. Factor Analysis. Defactored Returns. Prediction Model. Stochastic Resonance. Practical Matters. Doubling: A Deeper Perspective. Factor Analysis Primer. Prediction Model for Defactored Returns. Chapter 4. Law of Reversion. Introduction. Model and Result. The 75 percent Rule. Proof of the 75 percent Rule. Analytic Proof of the 75 percent Rule. Discrete Counter. Generalizations. Inhomogeneous Variances. Volatility Bursts. Numerical Illustration. First-Order Serial Correlation. Analytic Proof. Examples. Nonconstant Distributions. Applicability of the Result. Application to U.S. Bond Futures. Summary. Appendix 4.1: Looking Several Days Ahead. Chapter 5. Gauss is Not the God of Reversion. Introduction. Camels and Dromedaries. Dry River Flow. Some Bells Clang. Chapter 6. Interstock Volatility. Introduction. Theoretical Explanation. Theory versus Practice. Finish the Theory. Finish the Examples. Primer on Measuring Spread Volatility. Chapter 7. Quantifying Reversion Opportunities. Introduction. Reversion in a Stationary Random Process. Frequency of Reversionary Moves. Amount of Reversion. Movements from Quantiles Other Than the Median. Nonstationary Processes: Inhomogeneous Variance. Sequentially Structured Variances. Sequentially Unstructured Variances. Serial Correlation. Appendix 7.1: Details of the Lognormal Case in Example. Chapter 8. Nobel Difficulties. Introduction. Event Risk. Will Narrowing Spreads Guarantee Profits? Rise of a New Risk Factor. Redemption Tension. Supercharged Destruction. The Story of Regulation Fair Disclosure (FD). Correlation During Loss Episodes. Chapter 9. Trinity Troubles. Introduction. Decimalization. European Experience. Advocating the Devil. Stat. Arb. Arbed Away. Competition. Institutional Investors. Volatility Is the Key. Interest Rates and Volatility. Temporal Considerations. Truth in Fiction. A Litany of Bad Behavior. A Perspective on 2003. Realities of Structural Change. Recap. Chapter 10. Arise Black Boxes. Introduction. Modeling Expected Transaction Volume and Market Impact. Dynamic Updating. More Black Boxes. Market Deflation. Chapter 11. Statistical Arbitrage Rising. Catastrophe Process. Catastrophic Forecasts. Trend Change Identification. Using the Cuscore to Identify a Catastrophe. Is It Over? Catastrophe Theoretic Interpretation. Implications for Risk Management. Appendix 11.1: Understanding the Cuscore. Bibliography. Index.
Copyright Date
2007
Lccn
2007-026257
Dewey Decimal
332.64/5
Intended Audience
Trade
Series
Wiley Finance Ser.
Dewey Edition
22
Illustrated
Yes
Item description from the seller
Business seller information
Alibris, Inc.
Rob Lambert
2560 9th St
Ste 215
94710-2565 Berkeley, CA
United States
I certify that all my selling activities will comply with all EU laws and regulations.
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eBay item number:402983406520
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| Postage and packaging | To | Service | Delivery*See Delivery notes |
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| Free postage | United States | Standard Shipping | Estimated between Fri, 7 Jun and Wed, 12 Jun to 43230 |
| US $5.50 (approx £4.32) | United States | Expedited Shipping | Estimated between Sat, 8 Jun and Thu, 13 Jun to 43230 |
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r***s (115)- Feedback left by buyer.
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Was sent the wrong item. I ordered a CD and I received an LP instead. Two different places on the description said that it was a used CD in good condition. When I emailed the seller about it I got a generic reply telling me that they would get to it when they can and that if I send a second message it will just delay the process. That is terrible customer service. If they have time to send me an email message at all then they have time to initiate a refund or to answer the question I asked.
l***o (18)- Feedback left by buyer.
Past 6 months
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The book arrived in a plastic envelope with not protection and unfortunately it looked like the book was damaged in transit because of it. The items original ETA was April 18th but arrived on April 22nd. I requested a refund after seeing the quality of the book and the seller responded with a full refund and an apology for the quality. I really appreciated the customer service but was sad to see the book not in the quality described.
0***m (43)- Feedback left by buyer.
Past month
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My sincere apologies, the item was not what I expected, (to NO FAULT of the SELLER at all.) It came in good condition however, I must’ve of misunderstood the description, I thought the names would be transliterated into English, but it's in Hebrew. I thought it would give the Hebrew meaning to the name/ places. Also I noticed that the dust jacket was different than the advertised photo. If I may, I'd like to request a refund please and continue my search... Kind regards.
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