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VDM Verlag Inside the Risk Arbitrage: (A Global Review of Pairs Trading by Quant Methods

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Description

Risk Arbitrage is one of the most innovative areas of quantitative asset management. Its best quality is getting back low volatility yields poorly correlated to benchmark. This book pursues few goals. Firstly, Risk Arbitrage is placed into a theoretical framework using the Statistical Arbitrage(SA) Theory. Secondly, the most common SA strategies are shown starting from Pairs Trading (with Stochastic Approach and Cointegration Approach). The next step counts on breaking down High Frequency strategies which represent one of the most popular set of techniques in highly volatile markets. Finally, the review of SA strategies is extended to modules exploiting inefficiencies related to behavioral phenomena. The last section looks for answering the question how investors can apply SA to 130/30 products. About the Author Graduated from University of Siena in Finance and Financial Markets, the author (born June 14, 1984) works as independent trader on equity markets. Contact details: valentino.gori@gmail.com

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
07 October 2009
Listed Since
12 October 2009

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