Statistical Arbitrage: Algorithmic Trading Insights and Techniques

Pole, Andrew

ISBN 10: 0470138440 / ISBN 13: 9780470138441

Published by Wiley (edition 1), 2007

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Bibliographic Details

• Title: Statistical Arbitrage: Algorithmic Trading Insights and Techniques
• Publisher: Wiley (edition 1)
• Publication Date: 2007
• Language: English
• ISBN 10: 0470138440
• ISBN 13: 9780470138441
• Binding: Hardcover
• Edition: 1.
• Condition: Very Good

About this title

Synopsis

While statistical arbitrage has faced some tough times?as markets experienced dramatic changes in dynamics beginning in 2000?new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Pole?s own research and experience running a statistical arbitrage hedge fund for eight years?in partnership with a group whose own history stretches back to the dawn of what was first called pairs trading?this unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical Arbitrage contains comprehensive analysis that will appeal to both investors looking for an overview of this discipline, as well as quants looking for critical insights into modeling, risk management, and implementation of the strategy.

About the Author

Andrew Pole is a Managing Director at TIG Advisors, LLC, a registered investment advisor in New York. He specializes in quantitative trading strategies and risk management. This book is the result of his own research and experience running a statistical arbitrage hedge fund for eight years. Pole is also the coauthor of Applied Bayesian Forecasting and Time Series Analysis.