Statistical Arbitrage: Algorithmic Trading Insights and Techniques (Wiley Finance) (Hardcover)

by Andrew Pole (Author)
Key Phrases: reversion opportunities, popcorn process, revealed reversion, Structural Models, Statistical Arbitrage Rising, Quantifying Reversion Opportunities (more...)

Editorial Reviews

Review
"Over time, anything that creates an edge for a particular group of bettors—including the most astute observers of horse flesh—gets factored into the odds and becomes unreliable as a system. That's the classic argument of random walk theorists, and the equally classic response is that there's a lot of money to be made before that factoring is complete. This book is a contribution to that never-ending debate." (Hedgeworld.com)

Product Description
While statistical arbitrage has faced some tough timesas markets experienced dramatic changes in dynamics beginning in 2000new developments in algorithmic trading have allowed it to rise from the ashes of that fire. Based on the results of author Andrew Poles own research and experience running a statistical arbitrage hedge fund for eight yearsin partnership with a group whose own history stretches back to the dawn of what was first called pairs tradingthis unique guide provides detailed insights into the nuances of a proven investment strategy. Filled with in-depth insights and expert advice, Statistical 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.

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Product Details

• Hardcover: 230 pages
• Publisher: Wiley (October 5, 2007)
• Language: English
• ISBN-10: 0470138440
• ISBN-13: 978-0470138441
• Product Dimensions: 9.1 x 6.3 x 1.1 inches
• Shipping Weight: 1 pounds (View shipping rates and policies)
• Average Customer Review: 2.5 out of 5 stars See all reviews (13 customer reviews)
• Amazon.com Sales Rank: #88,447 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

23 of 26 people found the following review helpful:

1.0 out of 5 stars If you are a quant, don't buy this book, January 4, 2008

By	N. Tuzov "Nik Tuzov" (West Lafayette, IN USA) - See all my reviews (REAL NAME)

Like some other people, I got attracted by the title and ordered it even before it was released. Indeed, unlike the earlier publications such as Pairs Trading: Quantitative Methods and Analysis (Wiley Finance) and Applied Quantitative Methods for Trading and Investment (The Wiley Finance Series) , this book is probably the very first one dedicated entirely to Statistical Arbitrage.

Regrettably, its quantitative content is well below that of abovementioned books. As the author himself put it, "... nearly all temptation to compose a technical treatise has been resisted." As a result, all the technical stuff I learned from it can be summarized as follows: 1) the traded spread is very often non-stationary, but can be treated as locally stationary and 2) after 2004, the spread began exhibiting much sharper reversions to the mean ("catastrophe process") which complicated the trading.

None of these ideas, however, are presented in more or less strict quantitative form. I hoped that the bibliography would provide clues as to the particular models employed, but to no avail: the list of sources is quite short (22 items) with the majority of quantitative sources being obsolete (over ten years old).

All in all, this book is very much like a popular article and is not worth its price from a quant's perspective.

24 of 29 people found the following review helpful:

1.0 out of 5 stars Save money and forests, October 16, 2007

By	Joel S. Guglietta (Hong Kong) - See all my reviews (REAL NAME)

Buying this book is (too late for me) a total waste of money. On page 52, u ll read:
"3.4.5. fractal Analysis
We refer the interested reader to the inventor, Benoit B. Mandelbrot 2004, who tells it best."
...and that s it.
This is not serious Mr Pole! Well, surf Google for free. This will tell u best about everything this "book" is about, from GARCH to exponential moving averages and other under-grad materials.

14 of 16 people found the following review helpful:

1.0 out of 5 stars frustrating and too expensive, November 1, 2007

By	Tudor F. Moga (New York, NY USA) - See all my reviews (REAL NAME)

some interesting concepts but all very vague.There are very few practical ideas that can be taken out of this book and it's way too expensive for what it is. One would be better off by googling the table of contents of this book than by actualy reading it.