全部版块 我的主页
论坛 金融投资论坛 六区 金融学(理论版)
4295 7
2009-06-23
“The pairs trade was developed in the late 1980s by quantitative analysts and pioneered by Gerald Bamberger while at Morgan Stanley. With the help of others at Morgan Stanley at the time, including Nunzio Tartaglia, Bamberger found that certain securities, often competitors in the same sector, were correlated in their day-to-day price movements. When the correlation broke down, i.e. one stock traded up while the other traded down, they would sell the outperforming stock and buy the underperforming one, betting that the "spread" between the two would eventually converge.”
附件列表

Classical Pairs Trading Using MatLab.zip

大小:1.79 MB

只需: 5 个论坛币  马上下载

本附件包括:

  • license.txt
  • Evaluation of Pairs Trading Strategy at the Brazilian Financial Market.pdf
  • M of a Kind A Multivariate Approach at Pairs Trading.pdf
  • Pairs Trading Performance of a Relative Value Arbitrage Rule.pdf
  • Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies.pdf
  • An Intelligent Statistical Arbitrage Trading System.pdf

二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

全部回复
2009-12-7 07:23:22
let's have a look thx and hope the pairs converge :)
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2010-6-7 12:23:22
何必附5个论坛币呢, 这里就可以下载免费的
http://www.mathworks.com/matlabc ... rading-using-matlab
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2010-6-8 18:08:05
Thanks 3楼
Almost get fooled to spend 5个论坛币
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2012-10-24 07:06:03
thanks for sharing
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2014-1-12 13:17:05
Mathwork上的链接貌似已失效 发个新的:http://www.sourcecodeonline.com/ ... g_using_matlab.html
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

点击查看更多内容…
相关推荐
栏目导航
热门文章
推荐文章

说点什么

分享

扫码加好友,拉您进群
各岗位、行业、专业交流群