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Table Of Contents

THE CAPM MODEL
Introduction
MARKET NEUTRAL STRATEGY
PAIRS TRADING
AUDIENCE
OVERVIEW
Time Series
AUTOCORRELATION
TIME SERIES MODELS
FORECASTING
GOODNESS OF FIT VERSUS BIAS
MODEL CHOICE
MODELING STOCK PRICES
Factor Models
INTRODUCTION
ARBITRAGE PRICING THEORY
THE COVARIANCE MATRIX
APPLICATION: CALCULATING THE RISK ON A PORTFOLIO
APPLICATION: CALCULATION OF PORTFOLIO BETA
APPLICATION: TRACKING BASKET DESIGN
SENSITIVITY ANALYSIS
Kalman Filtering
THE KALMAN FILTER
THE SCALAR KALMAN FILTER
FILTERING THE RANDOM WALK
APPLICATION: EXAMPLE WITH THE STANDARD & POOR INDEX
Overview
HISTORY
MOTIVATION
COINTEGRATION
APPLYING THE MODEL
A TRADING STRATEGY
ROAD MAP FOR STRATEGY DESIGN
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
THE LINEAR RELATIONSHIP
ESTIMATING THE LINEAR RELATIONSHIP: THE REGRESSION APPROACH
TESTING RESIDUAL FOR TRADABILITY
Trading Design
BAND DESIGN FOR WHITE NOISE
NONPARAMETRIC APPROACH
REGULARIZATION
TYING UP LOOSE ENDS
Risk Arbitrage Mechanics
THE DEAL PROCESS
TRANSACTION TERMS
THE DEAL SPREAD
TRADING STRATEGY
QUANTITATIVE ASPECTS
Trade Execution
SPECIFYING THE ORDER
VERIFYING THE EXECUTION
EXECUTION DURING THE PRICING PERIOD
SHORT SELLING
The Market Implied Merger Probability
IMPLIED PROBABILITIES AND ARROW-DEBREU THEORY
THE SINGLE-STEP MODEL
THE MULTISTEP MODEL
RISK MANAGEMENT
Spread Inversion
THE PREDICTION EQUATION
THE OBSERVATION EQUATION
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Founded in 1807, John Wiley & Sons

Founded in 1807, John Wiley & Sons

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Published by: andras7 on Jan 08, 2010
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