Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools.
Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) on one asset and short (or bearish) on 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.
PART ONE: BACKGROUND MATERIAL.
- Chapter 1. Introduction.
- The CAPM Model.
- Market Neutral Strategy.
- Pairs Trading.
- Chapter 2. Time Series.
- Time Series Models.
- The goodness of Fit versus Bias.
- Model Choice.
- Modeling Stock Prices.
- Chapter 3. Factor Models.
- Arbitrage Pricing Theory.
- The Covariance Matrix.
- Application: Calculating the Risk on a Portfolio.
- Application: Calculation of Portfolio Beta.
- Application: Tracking Basket Design.
- Sensitivity Analysis.
- Chapter 4. Kalman Filtering.
- The Kalman Filter.
- The Scalar Kalman Filter.
- Filtering the Random Walk.
- Application: Example with the Standard & Poor Index.
PART TWO: STATISTICAL ARBITRAGE.
- Chapter 5. Overview.
- Applying the Model.
- A Trading Strategy.
- Road Map for Strategy Design.
- Chapter 6. Pairs Selection in Equity Markets.
- Common Trends Cointegration Model.
- Common Trends Model and APT.
- The Distance Measure.
- Interpreting the Distance Measure.
- Reconciling Theory and Practice.
- Chapter 7. Testing for Tradability.
- The Linear Relationship.
- Estimating the Linear Relationship: The Multifactor Approach.
- Estimating the Linear Relationship: The Regression Approach.
- Testing Residual for Tradability.
- Chapter 8. Trading Design.
- Band Design for White Noise.
- Spread Dynamics.
- Nonparametric Approach.
- Tying Up Loose Ends.
PART THREE: RISK ARBITRAGE PAIRS.
- Chapter 9. Risk Arbitrage Mechanics.
- The Deal Process.
- Transaction Terms.
- The Deal Spread.
- Trading Strategy.
- Quantitative Aspects.
- Chapter 10. Trade Execution.
- Specifying the Order.
- Verifying the Execution.
- Execution During the Pricing Period.
- Short Selling.
- Chapter 11. The Market Implied Merger Probability.
- Implied Probabilities and Arrow-Debreu Theory.
- The Single-Step Model.
- The Multistep Model.
- Reconciling Theory and Practice.
- Risk Management.
- Chapter 12. Spread Inversion.
- The Prediction Equation.
- The Observation Equation.
- Applying the Kalman Filter.
- Model Selection.
Applications to Trading.
What Will You Learn?
- Learn specific and tested formulas for identifying and investing in pairs
- How to implement and profit from the proven trading methodology
- Know what ratio should be used to construct the pairs properly
Who Is This Course For?
Pairs Trading: Quantitative Methods & Analysis is for all traders who want to learn to study technical analysis.
RELATED COURSESVIEW ALL
Private Ephemeris 1941-1950 – W.D. GannPrivate Ephemeris 1941-1950 – W.D. GannUpdate 06 Nov 2022AdvancedDOWNLOAD
Private Ephemeris 1941-1950 by W.D. Gann holds profitable knowledge that has been only passed between members within an inner circle.Add to wishlist
Michele – Trade on the FlyMichele – Trade on the FlyUpdate 07 Nov 2022BeginnerDOWNLOAD
Trade on the Fly by Michele walks you through specific tips as well as technical analysis for a perfect swing trading plan.Add to wishlist
Market Geometry – Timothy MorgeMarket Geometry – Timothy MorgeUpdate 06 Nov 2022AdvancedDOWNLOAD
Market Geometry by Timothy Morge walks you through tried-and-true techniques for insights into technicalAdd to wishlist
Dan Sheridan – A PLAN TO MAKE $4K MONTHLY ON $20KDan Sheridan – A PLAN TO MAKE $4K MONTHLY ON $20KUpdate 03 Nov 2022BeginnerDOWNLOAD
You have $20K and are looking for a steady monthly income that might reach $4K? Search no further, this course will provide you with an A – Z guidance to make that amount of money each month from now on!Add to wishlist
Wyckoff Unleashed Official Online Course (2018) – Wyckoff SMIWyckoff Unleashed Official Online Course (2018) – Wyckoff SMIUpdate 29 Nov 2022All LevelsDOWNLOAD
The Wyckoff Unleashed Official Online Course (2018) by Wyckoff SMI walks you through practical techniques of chart reading to decode the financial markets. There are many aspects covered in the course with detailed analysis and illustrated charts for practical understanding.Add to wishlist
Enhancing Technical Analysis with Planetary Price & Price Factors – Tim BostEnhancing Technical Analysis with Planetary Price & Price Factors – Tim BostUpdate 15 Nov 2022IntermediateDOWNLOAD
Enhancing Technical Analysis with Planetary Price & Price Factors by Tim Bost enhances your technical analysis knowledge and skills. Thus, you can easily forecast the market trends for insights into strategy development.Add to wishlist