Customer Reviews

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

5 star:		(5)
4 star:		(0)
3 star:		(0)
2 star:		(0)
1 star:		(10)

 

 

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.

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.

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.

I haven't read Mr. Pole's book. But I google my name from time to time, and found it on Page 1 (in the Wiley PDF preprint, which I assume is the same as the released version). Mr. Pole states that he was "unable to confirm" the origins of pair trading (and, by extension, statistical arbitrage). I do not know Mr. Pole, and I know of no efforts he may have made to contact me. So much for Page 1. I read no further.

In contrast, Rick Bookstaber, who interviewed many people who were at Morgan at the time, was able to confirm those origins. I would refer you to his fine book, "A Demon of our Own Design," which is not only well researched and a great read, but (for those value seekers out there) is priced substantially lower than Mr. Pole's book. I would have thought Mr. Bookstaber put all this nonsense to rest. Must I write my own book?

Gerald ("Gerry") Bamberger

this is not a book for serious people, let me quote page 54, "if the distinction between PCA and factor analysis seems hazy, good. It is. And we will say no more about it". This book may be useful for someone who has never heard of statistical arbitrage before, but the "serious investors" mentioned in the 5 star reviews won't find anything worth reading here.

This is the first item I have ever reviewed on Amazon, because this is the first time I feel someone's friends are doing such a disservice to the Amazon community.

Has anyone else noticed that both "An Avid Reader from Europe" and "Book worm", authors of the most recent 5-star reviews, have both only ever reviewed two books: this Statistical Arbitrage book and one called The Art of War. What is the chance of that? Two totally independent readers choosing the exact same book for their only other review with Amazon. And both of them giving both reviews 5 stars. Highly improbable, it seems to me.

This is surely an excellent reason to trust the 1-star reviews and avoid this Stat Arb book!

Just Horrible. Don't waste your money or your time. The author has a tremendous ability to go on and on without saying anything of significance. It's a typical attempt to make money by creating a useless
book. Take it from me because I wasted my money and I'm only trying to help others. After reading a book like this, it also make me wonder what the process is by which a book is published ? Maybe I can write my own book today if the process is that faulty ?

The central part of the book seems to be the derivation of a formula seemingly favouring reversion strategies (75% rule). The assumptions are that the daily spread is drawn from the same distribution which is clearly not a reasonable assumption. On top, this are absolute not conditional probabilities which is not much discussed either. Both points invalidate large parts of the book if you are after a sound statistical text on the subject.

This book is totally a trash in my view. I place one star because I cannot place 0. I am extremely disappointed since I had waited for several month before it got published.

It is full of fansy sentences and words without any real useful meaning. After reading the book, I get no idea of improving my current statistical arbitrage strategy.

It is of no real usage, although it is written by a MD. Save your time and money!

what makes the high dispersion? seems either the 1star or the 5star bunch is fake. who do u believe? i persoanlly found this book terrible, one of the biggest disappointments on my reading list. save the trees man