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Description
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, 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 ArbitrageStatistical 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. 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.
Table of ContentsTable of Contents
- Preface.Preface.
- Foreword.Foreword.
- Acknowledgments.Acknowledgments.
- Chapter 1. Monte Carlo or Bust.Chapter 1. Monte Carlo or Bust.
- Beginning.Beginning.
- Whither? And Allusions.Whither? And Allusions.
Chapter 2. Statistical Arbitrage.Chapter 2. Statistical Arbitrage.
- Introduction.Introduction.
- Noise Models.Noise Models.
- Reverse Bets.Reverse Bets.
- Multiple Bets.Multiple Bets.
- Rule Calibration.Rule Calibration.
- Spread Margins for Trade Rules.Spread Margins for Trade Rules.
- Popcorn Process.Popcorn Process.
- Identifying Pairs.Identifying Pairs.
- Refining Pair Selection.Refining Pair Selection.
- Event Analysis.Event Analysis.
- Correlation Search in the Twenty-First Century.Correlation Search in the Twenty-First Century.
- Portfolio Configuration and Risk Control.Portfolio Configuration and Risk Control.
- Exposure to Market Factors.Exposure to Market Factors.
- Market Impact.Market Impact.
- Risk Control Using Event Correlations.Risk Control Using Event Correlations.
- Dynamics and Calibration.Dynamics and Calibration.
- Evolutionary Operation: Single Parameter Illustration.Evolutionary Operation: Single Parameter Illustration.
Chapter 3. Structural Models.Chapter 3. Structural Models.
- Introduction.Introduction.
- Formal Forecast Functions.Formal Forecast Functions.
- Exponentially Weighted Moving Average.Exponentially Weighted Moving Average.
- Classical Time Series Models.Classical Time Series Models.
- Autoregression and Cointegration.Autoregression and Cointegration.
- Dynamic Linear Model.Dynamic Linear Model.
- Volatility Modeling.Volatility Modeling.
- Pattern Finding Techniques.Pattern Finding Techniques.
- Fractal Analysis.Fractal Analysis.
- Which Return?Which Return?
- A Factor Model.A Factor Model.
- Factor Analysis.Factor Analysis.
- Defactored Returns.Defactored Returns.
- Prediction Model.Prediction Model.
- Stochastic Resonance.Stochastic Resonance.
- Practical Matters.Practical Matters.
- Doubling: A Deeper Perspective.Doubling: A Deeper Perspective.
- Factor Analysis Primer.Factor Analysis Primer.
- Prediction Model for Defactored Returns.Prediction Model for Defactored Returns.
Chapter 4. Law of Reversion.Chapter 4. Law of Reversion.
- Introduction.Introduction.
- Model and Result.Model and Result.
- The 75 percent Rule.The 75 percent Rule.
- Proof of the 75 percent Rule.Proof of the 75 percent Rule.
- Analytic Proof of the 75 percent Rule.Analytic Proof of the 75 percent Rule.
- Discrete Counter.Discrete Counter.
- Generalizations.Generalizations.
- Inhomogeneous Variances.Inhomogeneous Variances.
- Volatility Bursts.Volatility Bursts.
- Numerical Illustration.Numerical Illustration.
- First-Order Serial Correlation.First-Order Serial Correlation.
- Analytic Proof.Analytic Proof.
- Examples.Examples.
- Nonconstant Distributions.Nonconstant Distributions.
- Applicability of the Result.Applicability of the Result.
- Application to U.S. Bond Futures.Application to U.S. Bond Futures.
- Summary.Summary.
- Appendix 4.1: Looking Several Days Ahead.Appendix 4.1: Looking Several Days Ahead.
Chapter 5. Gauss is Not the God of Reversion.Chapter 5. Gauss is Not the God of Reversion.
- Introduction.Introduction.
- Camels and Dromedaries.Camels and Dromedaries.
- Dry River Flow.Dry River Flow.
- Some Bells Clang.Some Bells Clang.
Chapter 6. Interstock Volatility.Chapter 6. Interstock Volatility.
- Introduction.Introduction.
- Theoretical Explanation.Theoretical Explanation.
- Theory versus Practice.Theory versus Practice.
- Finish the Theory.Finish the Theory.
- Finish the Examples.Finish the Examples.
- Primer on Measuring Spread Volatility.Primer on Measuring Spread Volatility.
Chapter 7. Quantifying Reversion Opportunities.Chapter 7. Quantifying Reversion Opportunities.
- Introduction.Introduction.
- Reversion in a Stationary Random Process.Reversion in a Stationary Random Process.
- Frequency of Reversionary Moves.Frequency of Reversionary Moves.
- Amount of Reversion.Amount of Reversion.
- Movements from Quantiles Other Than the Median.Movements from Quantiles Other Than the Median.
- Nonstationary Processes: Inhomogeneous Variance.Nonstationary Processes: Inhomogeneous Variance.
- Sequentially Structured Variances.Sequentially Structured Variances.
- Sequentially Unstructured Variances.Sequentially Unstructured Variances.
- Serial Correlation.Serial Correlation.
- Appendix 7.1: Details of the Lognormal Case in Example.Appendix 7.1: Details of the Lognormal Case in Example.
Chapter 8. Nobel Difficulties.Chapter 8. Nobel Difficulties.
- Introduction.Introduction.
- Event Risk.Event Risk.
- Will Narrowing Spreads Guarantee Profits?Will Narrowing Spreads Guarantee Profits?
- Rise of a New Risk Factor.Rise of a New Risk Factor.
- Redemption Tension.Redemption Tension.
- Supercharged Destruction.Supercharged Destruction.
- The Story of Regulation Fair Disclosure (FD).The Story of Regulation Fair Disclosure (FD).
- Correlation During Loss Episodes.Correlation During Loss Episodes.
Chapter 9. Trinity Troubles.Chapter 9. Trinity Troubles.
- Introduction.Introduction.
- Decimalization.Decimalization.
- European Experience.European Experience.
- Advocating the Devil.Advocating the Devil.
- Stat. Arb. Arbed Away.Stat. Arb. Arbed Away.
- Competition.Competition.
- Institutional Investors.Institutional Investors.
- Volatility Is the Key.Volatility Is the Key.
- Interest Rates and Volatility.Interest Rates and Volatility.
- Temporal Considerations.Temporal Considerations.
- Truth in Fiction.Truth in Fiction.
- A Litany of Bad Behavior.A Litany of Bad Behavior.
- A Perspective on 2003.A Perspective on 2003.
- Realities of Structural Change.Realities of Structural Change.
- Recap.Recap.
Chapter 10. Arise Black Boxes.Chapter 10. Arise Black Boxes.
- Introduction.Introduction.
- Modeling Expected Transaction Volume and Market Impact.Modeling Expected Transaction Volume and Market Impact.
- Dynamic Updating.Dynamic Updating.
- More Black Boxes.More Black Boxes.
- Market Deflation.Market Deflation.
Chapter 11. Statistical Arbitrage Rising.Chapter 11. Statistical Arbitrage Rising.
- Catastrophe Process.Catastrophe Process.
- Catastrophic Forecasts.Catastrophic Forecasts.
- Trend Change Identification.Trend Change Identification.
- Using the Cuscore to Identify a Catastrophe.Using the Cuscore to Identify a Catastrophe.
- Is It Over?Is It Over?
- Catastrophe Theoretic Interpretation.Catastrophe Theoretic Interpretation.
- Implications for Risk Management.Implications for Risk Management.
- Appendix 11.1: Understanding the Cuscore.Appendix 11.1: Understanding the Cuscore.
- Bibliography.Bibliography.
- Index.Index.
Forex & Trading – Foreign Exchange CourseForex & Trading – Foreign Exchange Course
You want to learn about Forex?You want to learn about Forex?
Foreign exchange, or forex, is the conversion of one country’s currency into another.Foreign exchange, or forex, is the conversion of one country’s currency into another.
In a free economy, a country’s currency is valued according to the laws of supply and demand.In a free economy, a country’s currency is valued according to the laws of supply and demand.
In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.
A country’s currency value may also be set by the country’s government.A country’s currency value may also be set by the country’s government.
However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation.However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation.
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