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2009-07-08

The Handbook of Pairs Trading: Strategies Using Equities, Options, and Futures
Douglas S. Ehrman
ISBN: 978-0-471-72707-1
Hardcover
258 pages
January 2006
Learn both the theory and practice of pairs trading, why it is consistently profitable, and how you can apply the strategies in your own trading with this valuable guide. Author Douglas Ehrman covers pairs trading involving stocks, options on stocks, and futures contracts, and explains how this type of trading allows you to profit from the changing price relationship of securities. In addition to a comprehensive discussion of the theories involved, he also includes practical examples that will to help you put what you've learned into practice. Douglas S. Ehrman is a hedge fund manager and a leading authority on pairs trading. He is one of the founders and the Chief Executive Officer of AlphAmerica Asset Management LLC in Chicago. He also served as the chief executive officer of AlphAmerica Financial, Inc., the company that operated PairsTrading.com prior to its merger with PairTrader.com.
Douglas S. Ehrman is a hedge fund manager and a leading authority on pairs trading. He is one of the founders and the Chief Executive Officer of AlphAmerica Asset Management LLC in Chicago. He also served as the chief executive officer of AlphAmerica Financial, Inc., the company that operated PairsTrading.com prior to its merger with PairTrader.com. Mr. Ehrman holds several securities licenses and held several positions with prominent investment firms prior to launching his own enterprise. He has been a featured speaker at several investment conferences, the editor of a daily research newsletter, and has been a guest on the CNN Financial Network to discuss pairs trading and market-neutral strategies.
Introduction.
PART ONE: The Market-Neutral Element.
Chapter 1: Pairs Trading: A Brief History.
Chapter 2: Market Neutrality.
Chapter 3: The Market-Neutral Investment Process.
Chapter 4: Market Neutrality and Pairs Trading.
PART TWO: The Arbitrage Element.
Chapter 5: Arbitrage Factors.
Chapter 6: Arbitrage and Pairs Trading.
PART THREE: The Technical Analysis Element.
Chapter 7: Technical Tools and Indicators.
Chapter 8: The Technicals of Pairs Trading.
PART FOUR: The Unified Theory.
Chapter 9: Reviewing the Elements.
Chapter 10: Trading Pairs Fundamentally.
Chapter 11: The Technical Approach.
Chapter 12: The Overlays.
Chapter 13: The Unified Pairs Trading Theory.
PART FIVE: Advanced Strategies and Examples.
Chapter 14: Options Basics: Terms and Strategies.
Chapter 15: Pairs Trading with Options.
Chapter 16: Futures and Currencies.
Chapter 17: Trade Examples.
Epilogue.
About the Author.
Index.
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2009-7-8 00:46:41
好书,顶一下,感谢楼主!
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2009-7-8 20:53:57
Pairs Trading, Convergence Trading, Cointegration
by Daniel Herlemont
”Trying to model the complex interdependencies between financial assets with so
restrictive concept of correlation is like trying to surf the internet with an IBM AT.”
                                                                                  -----Carol Alexander
Contents
1 Introduction 2
1.1 Stationary and non-stationary variables . . . . . . . . . . . . . . . . . . . . . 3
2 Pairs Trading Model 5
2.1 Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 Testing for the mean reversion . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.3 Screening Pairs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.4 Trading rules . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.5 Risk control . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.6 Risks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
2.7 General Discussion on pairs trading . . . . . . . . . . . . . . . . . . . . . . . 9
3 Optimal Convergence Trading 11
3.1 Optimal Trading in presence of mean reversion . . . . . . . . . . . . . . . . . 11
3.2 Continuous version of mean reversion : the Ornstein-Uhlenbeck process . . . 12
4 Granger causality 13
5 spurious regression
6 Unit Root Hypohtesis Testing 14
6.1 Dickey Fuller Tests . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
6.2 Variants on the Dickey-Fuller Test . . . . . . . . . . . . . . . . . . . . . . . . 15
6.3 The Augmented Dickey-Fuller Test . . . . . . . . . . . . . . . . . . . . . . . 16
6.4 Error Correction Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
6.5 Discussions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
6.5.1 Aaron at willmot.com . . . . . . . . . . . . . . . . . . . . . . . . . . 19
6.5.2 Allen and Fildes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
7 Variance Ratio Test 22
7.1 Implementation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
8 Absolute Return Ratio Test 24
9 Multi variate co-integration - Vector Error Correction Modelling 25
10 Resources 26
11 References 30
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2009-7-9 00:38:12
Understanding the Profitability of Pairs Trading
by  Sandro C. Andrade & Vadim di Pietro & Mark S. Seasholes
Abstract
This paper links uninformed demand shocks with the profits and risks of pairs trading. Usually
employed by sophisticated investors, pairs trading is a relative value strategy that simultaneously
buys one stock while selling another. In a market with limited risk bearing capacity, uninformed
demand shocks cause temporary price pressure. A pair of stock prices that have historically
moved together diverge when subjected to differential shocks. Uninformed buying is shown to
be the dominant factor behind the divergence. A strategy that sells the higher priced stock and
buys the lower priced stock earns excess returns of 10.18% per annum. The marked-to-market
returns of a pairs trading strategy are highly correlated with uninformed demand shocks in the
underlying shares. Measuring pairs trading profits represents a succinct way to quantify the
costs of liquidity provision (i.e., the costs of keeping relative prices in line.

Keywords: Asset pricing, return predictability, limits of arbitrage
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2009-7-9 09:16:37
1.A New Approach to Modeling and Estimation for Pairs Trading
by Binh Do Robert Faff  Kais Hamza
2.Pairs Trading and Accounting Information
by George Papadakis & Peter Wysocki
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2009-11-11 10:37:30
都是有关配对交易的么?多谢了
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