Statistical Arbitrage
                  --------------  AlgorithmicTradingInsights andTechniques

统计套利领域著名的书，257页。

CHAPTER1
MonteCarloorBust1
Beginning 1
Whither?AndAllusions 4
CHAPTER2
StatisticalArbitrage9
Introduction 9
NoiseModels 10
ReverseBets 11
MultipleBets 11
RuleCalibration 12
SpreadMarginsforTradeRules 16
PopcornProcess 18
IdentifyingPairs 20
RefiningPairSelection 21
EventAnalysis 22
CorrelationSearchintheTwenty-FirstCentury 26
PortfolioConfigurationandRiskControl 26
ExposuretoMarketFactors 29
MarketImpact 30
RiskControlUsingEventCorrelations 31
DynamicsandCalibration 32
EvolutionaryOperation:SingleParameterIllustration34

CHAPTER3
StructuralModels37
Introduction 37
FormalForecastFunctions 39
ExponentiallyWeightedMovingAverage 40
ClassicalTimeSeriesModels 47
AutoregressionandCointegration 47
DynamicLinearModel 49
VolatilityModeling 50
PatternFindingTechniques 51
FractalAnalysis 52
WhichReturn? 52
AFactorModel 53
FactorAnalysis 54
DefactoredReturns 55
PredictionModel 57
StochasticResonance 58
PracticalMatters 59
Doubling:ADeeperPerspective 61
FactorAnalysisPrimer 63
PredictionModelforDefactoredReturns 65
CHAPTER4
LawofReversion67
Introduction 67
ModelandResult 68
The75percentRule 68
Proofofthe75percentRule 69
AnalyticProofofthe75percentRule 71
DiscreteCounter 73
Generalizations 73
InhomogeneousVariances 74
VolatilityBursts 75
NumericalIllustration 76
First-OrderSerialCorrelation 77
AnalyticProof 79
Examples 82
NonconstantDistributions 82
ApplicabilityoftheResult 84
ApplicationtoU.S.BondFutures 85

Summary 87
Appendix4.1:LookingSeveralDaysAhead 87
CHAPTER5
GaussIsNottheGodofReversion91
Introduction 91
CamelsandDromedaries 92
DryRiverFlow 95
SomeBellsClang 98
CHAPTER6
InterstockVolatility99
Introduction 99
TheoreticalExplanation 103
TheoryversusPractice 105
FinishtheTheory 105
FinishtheExamples 106
PrimeronMeasuringSpreadVolatility 108
CHAPTER7
QuantifyingReversionOpportunities113
Introduction 113
ReversioninaStationaryRandomProcess 114
FrequencyofReversionaryMoves 117
AmountofReversion 118
MovementsfromQuantilesOtherThan
theMedian 135
NonstationaryProcesses:InhomogeneousVariance 136
SequentiallyStructuredVariances 136
SequentiallyUnstructuredVariances 137
SerialCorrelation 138
Appendix7.1:DetailsoftheLognormalCaseinExample6139
CHAPTER8
NobelDifficulties141
Introduction 141
EventRisk 142
WillNarrowingSpreadsGuaranteeProfits? 144
RiseofaNewRiskFactor 145

RedemptionTension 148
SuperchargedDestruction 150
TheStoryofRegulationFairDisclosure(FD) 150
CorrelationDuringLossEpisodes 151
CHAPTER9
TrinityTroubles155
Introduction 155
Decimalization 156
EuropeanExperience 157
AdvocatingtheDevil 158
Stat.Arb.ArbedAway 159
Competition 160
InstitutionalInvestors 163
VolatilityIstheKey 163
InterestRatesandVolatility 165
TemporalConsiderations 166
TruthinFiction 174
ALitanyofBadBehavior 174
APerspectiveon2003 178
RealitiesofStructuralChange 179
Recap 180
CHAPTER10
AriseBlackBoxes183
Introduction 183
ModelingExpectedTransactionVolumeandMarketImpact185
DynamicUpdating 188
MoreBlackBoxes 189
MarketDeflation 189
CHAPTER11
StatisticalArbitrageRising191
CatastropheProcess 194
CatastrophicForecasts 198
TrendChangeIdentification 200
UsingtheCuscoretoIdentifyaCatastrophe 202
IsItOver? 204
CatastropheTheoreticInterpretation 205
ImplicationsforRiskManagement 209

SignOff 211
Appendix11.1:UnderstandingtheCuscore 211
Bibliography 223
Index 225