Pairs Trading: Quantitative Methods and Analysis (Wiley Finance)

After presenting the broad ideas and concepts of this trading method, Pairs Trading delves into two different versions of pairs trading in the equity markets--statistical arbitrage pairs trading and risk arbitrage. Part II of this book details statistical arbitrage pairs trading, which is a relative value arbitrage on two securities based on the premise that there is a long-run equilibrium between the prices of the stocks comprising the pair. Part III moves on to illustrate the trading techniques and strategies associated with risk arbitrage--the widely practiced arbitrage technique that involves pairs trading arising in the context of corporate events, especially mergers and acquisitions.

Written in a straightforward and accessible style, Pairs Trading provides a framework that will allow you to boost the bottom line of any portfolio.

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All Customer Reviews
Average Customer Review:
0 of 1 people found the following review helpful:

Well written introduction to Quantitative Equity Analysis, 2009-07-03
Very well written and easy to follow. The assumed background is that you have taken a statistics and linear algebra course. The book flows well from chapter to chapter, and a few cartoons never hurt in a technical book. Teaching inductively from simple examples to the most general case is highly underutilized by most authors in my opinion. This book does it well, and more books should follow that approach.


3 of 4 people found the following review helpful:

Best quant+trading book I've read, 2008-11-18
This book is for the analytically inclined and only for the analytically inclined. It's perfectly suitable for wanna-be quants (possible engineering or science graduates) who want to familirize themselves with techniques of quantitative finance.

The book contains excellent pointers to well known references and sources in this area, and can provide a suitable starting point (+ it provides very valuable intuitions on how to relate abstract math concepts to trading). I thought it's much more readable than a more established reference "Active Portfolio Management".

The author does an admirable job of surveying scientific subjects relevant, and central, to pairs trading. But, it's hard to say he's an expert in all of them. He misses the mark a couple of times, notably in the section on Kalman filtering with regard to standard terminology in this area.

The book almost shines as a quant/trading book---again only for those with sufficient math/signal processing/systems theory background and for those willing to learn deeper from references.


1 of 3 people found the following review helpful:

good book, 2008-09-29
there is a scarcity of books in this category.. It is not the best comprehensive book on the topic but the presentation is very good and easy for a beginner to understand.


2 of 2 people found the following review helpful:

My 2 cents, 2008-06-25
The reviewers up to this point have all made valid points. I just want to add that this book IS NOT worth $50. $15 maybe $20. It's a paltry 204 pages filled with graphs and cartoons. Check it out from your local research library and make notes. You can read through it in a matter of weeks if not days if you have a lot of free time on your hands.


1 of 2 people found the following review helpful:

Very interesting material, 2007-05-25
It's a good read even with the somewhat unorthodox mathematical notation. The overall concept of pairs trading is introduced well, with just enough detail to tempt the more adventurous gambler. The author appears well versed in the subject and writes well but assumes a relatively high level of mathematical maturity on the part of the reader.

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