文档介绍：:20PMPageiiiPairsTradingQuantitativeMethodsandAnalysisGANAPATHYVIDYAMURTHYJohnWiley&Sons,:20PMPagevContentsPrefaceixAcknowledgmentsxiPARTONEBackgroundMaterialCHAPTER1Introduction3TheCAPMModel3MarketNeutralStrategy5PairsTrading8Outline9Audience10CHAPTER2TimeSeries14Overview14Autocorrelation15TimeSeriesModels16Forecasting24GoodnessofFitversusBias25ModelChoice26ModelingStockPrices30CHAPTER3FactorModels37Introduction37ArbitragePricingTheory39TheCovarianceMatrix42Application:CalculatingtheRiskonaPortfolio44Application:CalculationofPortfolioBeta47Application::20PMPageviviCONTENTSCHAPTER4KalmanFiltering52Introduction52TheKalmanFilter54TheScalarKalmanFilter57FilteringtheRandomWalk60Application:ExamplewiththeStandard&monTrendsModelandAPT90TheDistanceMeasure93InterpretingtheDistanceMeasure94ReconcilingTheoryandPractice97CHAPTER7TestingforTradability104Introduction104TheLinearRelationship106EstimatingtheLinearRelationship:TheMultifactorApproach107EstimatingtheLinearRelationship::20PMPageviiContentsviiBandDesignforWhiteNoise119SpreadDynamics122NonparametricApproach126Regularization130TyingUpLooseEnds135PARTTHREERiskArbitragePairsCHAPTER9RiskArbitrageMechanics139Introduction139History140TheDealProcess141TransactionTerms142TheDealSpread145TradingStrategy147QuantitativeAspects149CHAPTER10TradeExecution151Introduction151SpecifyingtheOrder152VerifyingtheExecution155ExecutionDuringthePricingPeriod161ShortSelling166CHAPTER11TheMarketImpliedMergerProbability171Introduction171ImpliedProbabilitiesandArrow-DebreuTheory173TheSingle-:20PMPageviiiviiiCONTENTSApplyingtheKalman