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6/4/04 8:13 PM Page 1 Quark08 Quark08:Books:GK-Jobs:GK15/WHISLER:Chapter:
Trading
Pairs
6/4/04 8:13 PM Page 2 Quark08 Quark08:Books:GK-Jobs:GK15/WHISLER:Chapter:
Founded in 1807, John Wiley & Sons is the oldest independent publishing
company in the United States. With offices in North America, Europe,
Australia, 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 Trading series features books by traders who have survived the
market’s ever-changing temperament and have prospered—some by
reinventing systems, others by getting back to basics. Whether a novice
trader, professional, or somewhere in between, these books will provide
the advice and strategies needed to prosper today and well into the future.
For a list of available titles, please visit our Web site at
.
6/4/04 8:13 PM Page 3 Quark08 Quark08:Books:GK-Jobs:GK15/WHISLER:Chapter:
Trading
Pairs
Capturing Profits and
Hedging Risk with Statistical
Arbitrage Strategies
MARK WHISTLER
John Wiley & Sons, Inc.
6/4/04 8:13 PM Page 4 Quark08 Quark08:Books:GK-Jobs:GK15/WHISLER:Chapter:
Copyright © 2004 by Mark Whistler. 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 paym