Bookcover of Inside the Risk Arbitrage
Booktitle:

Inside the Risk Arbitrage

(A Global Review of Pairs Trading by Quant Methods

VDM Verlag Dr. Müller (2009-10-07 )

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ISBN-13:

978-3-639-19973-4

ISBN-10:
3639199731
EAN:
9783639199734
Book language:
English
Blurb/Shorttext:
Risk Arbitrage is one of the most innovative areas of quantitative asset management. Its best quality is getting back low volatility yields poorly correlated to benchmark. This book pursues few goals. Firstly, Risk Arbitrage is placed into a theoretical framework using the Statistical Arbitrage(SA) Theory. Secondly, the most common SA strategies are shown starting from Pairs Trading (with Stochastic Approach and Cointegration Approach). The next step counts on breaking down High Frequency strategies which represent one of the most popular set of techniques in highly volatile markets. Finally, the review of SA strategies is extended to modules exploiting inefficiencies related to behavioral phenomena. The last section looks for answering the question how investors can apply SA to 130/30 products.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Valentino Gori
Number of pages:
100
Published on:
2009-10-07
Stock:
Available
Category:
Economics
Price:
49.00 €
Keywords:
"Alternative Investments"

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