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Table Of Contents

Overview
HISTORY
MOTIVATION
COINTEGRATION
APPLYING THE MODEL
A TRADING STRATEGY
ROAD MAP FOR STRATEGY DESIGN
INTRODUCTION
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
Testing For Tradability
THE LINEAR RELATIONSHIP
ESTIMATING THE LINEAR RELATIONSHIP: THEREGRESSION APPROACH
TESTING RESIDUAL FOR TRADABILITY
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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Pairs Trading-Quantitative Methods and Analysis

Pairs Trading-Quantitative Methods and Analysis

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Categories:Topics, Art & Design
Published by: fukunaga_smc on Dec 31, 2010
Copyright:Attribution Non-commercial

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12/30/2011

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