Alpha trading: profitable strategies that remove directional risk

INDICE: Preface. Chapter 1 Uncertainty. Impact on Trading. The Inevitable Price Shocks. Why So Much About Price Shocks? Complexity and Contagion Risk. The Ugly Side. Taking Defensive Action. Accepting Performance for What It Is. Chapter 2 The Importance of Price Noise. Noise Explained. Different Markets. A Closer Look at Equity Index Markets. Importance of Noise. Determining the Strategy. Capitalizing on the Trend of Noise. Chapter 3 Pairs Trading -- Understanding the Process. The Process. The Basics. Target Volatility. Home Builders. Using ETFs. Portfolio of Home Builders Pairs. Execution and the Part-Time Trader. Stop-Losses. Trading Intraday. Key Points to Remember. Chapter 4 Pairs Trading Using Futures. Futures. Mechanics of a Pairs Trade in Futures. Inflation Scares. Trading Energy Pairs. Revisiting Momentum with Energy Markets. A Mini-Portfolio of Natural Gas Pairs. The Inflation Pairs: Crude, the EURUSD, and gold. Equity Index Pairs. Leveraging with Futures. LME Pairs. Volatility Filters. Interest Rate Futures. Summary. Chapter 5 Risk-Adjusted Spreads. Dell and Hewlett-Packard. Trading Both Long-Term (Hedged) Trends and Short-Term Mean Reversion. Gold, Platinum, and Silver. The Platinum-Gold Ratio. Implied Yield. The Yield Curve. Trend Trading of LME Pairs. Summary. Chapter 6 Cross-Market Trading and the Stress Indicator. The Crossover Trade*. The Stress Indicator. Gold, Copper, and Platinum. Mining Companies. Agri-Business Pairs. The Major Energy Producers. Portfolio of Cross-Market Energy Pairs. Other Opportunities. Some Final Notes. Chapter 7 Revisiting Pairs Using the Stress Indicator. Futures Markets and the Stress Indicator. Equity Index Futures. Interest Rate Futures. The Portfolio Spreadsheet. Summary of Pairs Trading. Chapter 8 Traditional Market Neutral Trading. Home Builders. Trend or Mean Reversion? Basic Market Neutral Concept. Volatility-Adjusting the Position Size. Arbing the Dow -- A Large Scale Program. Thoughts About Market Neutral Trend Following. Market Neutral Using Futures. Market Neutral Comments. Chapter 9 Other Stat-Arb Methods. Trade-Offs. System Briefs. New Highs and New Lows. Merger Arb. Creating Your Own Index Arbitrage. Arbing the Dow. Arbing the S&P 500 -- Index Arbitrage. About theWebsite. About the Author. Index.

• ISBN: 978-0-470-52974-4
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 336
• Fecha Publicación: 16/02/2011
• Nº Volúmenes: 1
• Idioma: Inglés