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Wiley Finance,.Pairs Trading - Quantitative Methods and Analysis.[2004.0471460672].pdf

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文档介绍

文档介绍:7/26/04 2:20 PM Page i
Pairs
Trading
7/26/04 2:20 PM Page ii
Founded in 1807, John Wiley & Sons is the oldest independent publishing
company in the United States. With offices in North America, Europe, Aus-
tralia, and Asia, Wiley is mitted to developing and marketing
print and electronic products and services for our customers’ professional
and personal knowledge and understanding.
The Wiley Finance series contains books written specifically for finance and
investment professionals as well as sophisticated individual investors and
their financial advisors. Book topics range from portfolio management to e-
commerce, risk management, financial engineering, valuation, and financial
instrument analysis, as well as much more.
For a list of available titles, visit our Web site at .
7/26/04 2:20 PM Page iii
Pairs
Trading
Quantitative Methods
and Analysis
GANAPATHY VIDYAMURTHY
John Wiley & Sons, Inc.
7/26/04 2:20 PM Page iv
Copyright © 2004 by Ganapathy Vidyamurthy. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in
any form or by any means, electronic, mechanical, photocopying, recording, scanning, or
otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright
Act, without either the prior written permission of the Publisher, or authorization through
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Rosewood Drive, Danvers, MA 01923, 978-750-8400, fax 978-646-8600, or on the web at
. Requests to the Publisher for permission should be addressed to the
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201-748-6011, fax 201-748-6008.
Limit of Liability/Disclaimer of Warranty: While the publisher an