Econometrics: bibliography - page 18
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Would it be possible to have a link. And please, no covers.
I don't know if you can post links to exchangers on this forum - I think third-party links are forbidden...
but there are download links on the web..:
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Title: Pairs Trading - Quantitative Methods and Analysis
Author: GANAPATHY VIDYAMURTHY
Publishing house: John Wiley & Sons, Inc.
Language: English
Format: PDF
Quality: original
Description: The book describes mathematical models of statistical arbitrage between pairs of financial instruments based on cointegration models, autoregressive moving averages. Reading it requires some knowledge (concepts: random walk, correlations, covariances, Kalman filter, ARS models, cointegration, eigennumbers, eigenvectors). On the other hand, all the above is given "almost" from scratch, consistently and without excessive academicism. issues of statistical arbitrage in cases of convertible bonds, M&A are touched upon.
Read Pairs Trading. Quantitative Methods and Analysis - it's all there :-)
Do you seriously think I haven't read this book, when I deal with this topic day in and day out? o_O
Nevertheless what you suggest - calculating leg volumes from smoothed price ratios - is neutral to the same percentage change in leg value, not volatility.
I don't know if you can post links to exchangers on this forum - I think third-party links are forbidden...
but there are download links on the web..:
-------------
Title: Pairs Trading - Quantitative Methods and Analysis
Author: GANAPATHY VIDYAMURTHY
Publishing House: John Wiley & Sons, Inc.
Language: English
Format: PDF
Quality: original
Description: The book describes mathematical models of statistical arbitrage between pairs of financial instruments based on cointegration models, autoregressive moving averages. Reading it requires some knowledge (concepts: random walk, correlations, covariances, Kalman filter, ARS models, cointegration, eigennumbers, eigenvectors). On the other hand, all the above is given "almost" from scratch, consistently and without excessive academicism. issues of statistical arbitrage in cases of convertible bonds, M&A are touched upon.
I haven't noticed the influence of this book on you.
I don't know what to make of it... If you've read it, why don't you condescend to speak to an audience and express your thoughts in terms of the book you announced.
why? the audience has a brain of their own... here's trying to attach a book - RAP renamed Zip
why? the audience has a brain of their own... here's trying to attach a book - RAP renamed Zip
Writes unexpected end of archive, after renaming to rar.
Do you seriously think I haven't read this book when I deal with this topic day in and day out? o_O
Nevertheless, what you are suggesting - calculating leg volumes from the smoothed price ratio - is neutral to the same percentage change in leg value, not volatility.
fuck it - the APAC is being used
---
ATR indicator. Average True Range --- Average True Range.
History of ATR:
The average true range was developed by J. Wells Wilder, who first introduced it in his book - "New concepts in technical trading systems" (1978). Originally, like the majority of other indicators, it was created for commodity markets (which are more volatile than stocks) and end-of-day prices, but now it is used in Forex, as well as for other periods. The Average True Rangeis a volatility indicator.
it is what the alignment is based on...
It says unexpected end of archive, after renaming to rar.
Why? The audience has a mind of its own...
I don't get it. Are you suggesting that you are talking rubbish?
here is trying to attach the book - RAP renamed Zip
The link is readable.
The book is on point.
can you tell me... - the answers were meant for someone else - you deigned to jump in by asking questions...
I responded as I saw fit - I'm not going to chew anyone's ear off... - google and yandex are available - you can look up the terms there ... ;-)