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Pairs Trading - Quantitative Methods and Analysis


Authors


Ganapathy Vidyamurthy

Publisher John Wiley And Sons
ISBN 0471460672


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Ganapathy Vidyamurthy has been working in the financial markets for nearly a decade. During this time, he created the entire risk management software infrastructure for RBC Dominion Securities in New York, and built valuation models and automated execution strategies for UBS Warburg and JP Morgan Fleming. He is currently the principal of Himalaya Consulting. Beyond finance, Mr. Vidyamurthy’s interests range from discrete optimization to algorithmic music composition–a field in which he is often cited. Mr. Vidyamurthy has a master’s degree in electrical communication engineering from the Indian Institute of Science and a master’s degree from the Courant Institute of Mathematical Sciences of New York University.

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Keywords
arbitrage
arbitrage pairs
CAPM
equity markets
factor models
markets
pairs
pairs trading
portfolio risk
risk
risk arbitrage
spread inversion
trade execution


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