Pairs Trading: Quantitative Methods and Analysis

by Ganapathy Vidyamurthy

The first in-depth analysis of pairs trading
Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly.
Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.

Genres: Finance

224 pages, Hardcover

First published August 30, 2004

Reviews

[Yangon · Rating 1 out of 5]

Had to read for one of my classes. He explained things but only scratched on the surface. You will see a lot of basic jargons but you still need to read other books.

Also, don’t try pairs trading in real life. Did you know that VW billionaire committed suicide because he lost $$ by pair trading? If a billionaire did this, who are we to do it as an individual middle class ppl.

[May Ling]

Basic, but straight forward. For those that are trying to get the basic concepts this is a good go to book.

[Tadas Talaikis · Rating 5 out of 5]

It's a gem as an introduction to the subject. Clean, a lot of step by step explanations.

[Thomas · Rating 5 out of 5]

An exception in the bullshit literature on pairs trading.

You need uni mathematics.