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Pairs Trading Quantitative Methods and Analysis (Wiley Finance)
ISBN: 0471460672     Date Published: 2004-08-30     Author(s): Ganapathy Vidyamurthy
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Hardcover
Wiley
224 Pages
 
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06/20/2013 01:28:31
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Editorial Review - 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.

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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.
 
Customer Review:
Total Reviews: (19)
  (9)      (2)      (5)      (1)      (2)
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58 of 62 People found the following review helpful.

the only good introduction to pairs trades, April 14, 2007 ByScott C. Locklin "Selectos nisi das mihi libe... (Berkeley CA) - See all my reviews Amazon Verified Purchase(What's this?) This review is from: Pairs Trading: Quantitative Methods and Analysis (Wiley Finance) (Hardcover) When people talk about "quant" stuff, they are generally talking about two fairly distinct kinds of quant. There are the derivatives guys (options sell side & risk hedgers), and the 'statistical arbitrage' guys. This is one of the best books for a larval 'statistical arbitrage' guy. 'Statistical arbitrage' is a term referring to the techniques used by sophisticated hedge funds and trading desks to provide 'risk free' returns. I stick in the scare quotes around these phrases, because they're not really arbitrage, though they can be pretty decoupled from market returns. The techniques go well beyond just trading pairs, so the phrase, 'stat arb' is probably with us for good, even though it is often neither stat nor arb. The mean reverting versions of these techniques were largely invented by Nunzio Tartaglia and company (primarily Gerry Bamberger according to Thorp) at Morgan Stanley in the 1980s. Many of his underlings went on to found their own hedge funds, and the secret eventually...
 
47 of 52 People found the following review helpful.

Excellent Book, September 15, 2004 ByDr. Peter Bruhn - See all my reviews This review is from: Pairs Trading: Quantitative Methods and Analysis (Wiley Finance) (Hardcover) I totally have to disagree with the first reviewer. I would rather say the opposite: the book is mathematically too simple in many places. But on the other hand it is not a statistics book. The book tries to explain complicated matters in a simple way. If you have no idea about stochastic processes, ARIMA-models, cointegration, stationarity,... then this book might not be the right one for you. But honestly: then pairs trading might not be the right thing for you either. Pairs trading is based on statistical concepts. This book only gives a brief idea of what statistical concepts are of use for pairs trading and how to apply them. If you really want to go into pairs trading, you will have to get much deeper into statistics then then this book does or can do. In my opinion the book does a brilliant job in giving you a link between statistical models, pairs trading and financial models (like the APT). I also bought the book "Trading Pairs" by Mark Whistler, and I must say i was rather...
 
25 of 27 People found the following review helpful.

Good Little Intro into Analyzing Time Series Data, April 13, 2005 ByJC "quant" (Chicago, IL) - See all my reviews This review is from: Pairs Trading: Quantitative Methods and Analysis (Wiley Finance) (Hardcover) This book is small and has around 200 pages with very large font. The math is very simple to follow compared with most of the other quantitative finance books out there. In the beggining of my masters program I thought that statistics was nothing more than mumbo jumbo (as I assumed that the way to succeed in finance was via probability theory, numerical analysis, stochastic calculus, and PDE's). Overall, this book changed my outlook on statistics and how analyzing time series accurately via statistics can help you put together a good trading strategy. Please note that this book is a short refresher and only provides the reader with new ideas. I don't think that if anyone had a succesful trading strategy they would be disclosing their recipes and algorithms in a book.
 
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