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Alpha Trading
Buch von Perry J Kaufman
Sprache: Englisch

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Beschreibung

In the fall of 2008, the investment world received a rude reminder that forecasts and risk have more uncertainty than we would like to believe. From August 28 to the following March 9, the S&P 500 dropped 47%. Even more remarkable was that every investment was dragged down with it-hedge funds that were expected to offer diversification, commodity funds, real estate, art, and of course, every possible stock in nearly every country. When a market like this comes along, what is a trader to do? How to manage risk? Where are the hedges?

The solution to all this risk and uncertainty, says world-renowned trading systems expert Perry Kaufman, is to take market positions that are not exposed to directional risk. Trading a spread or market neutral position takes price shocks out of the picture completely. In Alpha Trading, Kaufman shows how to make trading profits even when there are no market trends and price shocks rock the markets every day. His strategies, long shown to be profitable, are called statistical arbitrage, or stat-arb, and they can be traded by holding positions for a few days, as he suggests, or for milliseconds as implemented by the big investment houses. They include all forms of stat-arb trading, from spreads to yield-curve trading to program trading, and from the simplest pairs trade to large-scale market neutral strategies. Kaufman covers each one in detail, ultimately showing you how to change the shape of your risk and drastically increase your probability of profiting under any market conditions.

With his decades of experience in almost every type of market, Kaufman's guidance, strategies, and lessons will be a welcome addition to the trading literature for professional and serious individual traders for years to come.

A companion website includes spreadsheets to perform the calculations found in the book, including those for pairs trading, risk-adjusted spreads, cross-market trading, traditional market neutral trading, and other stat-arb methods.

Alpha Trading will help serious investors and traders make money when markets make no sense. With tested strategies and systems for profitably trading in directionless markets, Kaufman shows traders how to exploit new highs and lows, hedge primary risk components, find robustness, craft a diversification program, and much more, complete with spreadsheets to do the calculations. Each step of the process is explained and illustrated with examples of how the numbers should look.

In the fall of 2008, the investment world received a rude reminder that forecasts and risk have more uncertainty than we would like to believe. From August 28 to the following March 9, the S&P 500 dropped 47%. Even more remarkable was that every investment was dragged down with it-hedge funds that were expected to offer diversification, commodity funds, real estate, art, and of course, every possible stock in nearly every country. When a market like this comes along, what is a trader to do? How to manage risk? Where are the hedges?

The solution to all this risk and uncertainty, says world-renowned trading systems expert Perry Kaufman, is to take market positions that are not exposed to directional risk. Trading a spread or market neutral position takes price shocks out of the picture completely. In Alpha Trading, Kaufman shows how to make trading profits even when there are no market trends and price shocks rock the markets every day. His strategies, long shown to be profitable, are called statistical arbitrage, or stat-arb, and they can be traded by holding positions for a few days, as he suggests, or for milliseconds as implemented by the big investment houses. They include all forms of stat-arb trading, from spreads to yield-curve trading to program trading, and from the simplest pairs trade to large-scale market neutral strategies. Kaufman covers each one in detail, ultimately showing you how to change the shape of your risk and drastically increase your probability of profiting under any market conditions.

With his decades of experience in almost every type of market, Kaufman's guidance, strategies, and lessons will be a welcome addition to the trading literature for professional and serious individual traders for years to come.

A companion website includes spreadsheets to perform the calculations found in the book, including those for pairs trading, risk-adjusted spreads, cross-market trading, traditional market neutral trading, and other stat-arb methods.

Alpha Trading will help serious investors and traders make money when markets make no sense. With tested strategies and systems for profitably trading in directionless markets, Kaufman shows traders how to exploit new highs and lows, hedge primary risk components, find robustness, craft a diversification program, and much more, complete with spreadsheets to do the calculations. Each step of the process is explained and illustrated with examples of how the numbers should look.

Über den Autor

PERRY KAUFMAN has more than thirty years of experience in financial engineering and hedge funds, and is well-known for his role in algorithmic trading. Since 1971, he has specialized in the development of fully systematic trading programs in derivatives and equities as well as risk management and leverage overlays. He is the author of New Trading Systems and Methods, Fourth Edition, A Short Course in Technical Trading, both from Wiley, and other books and articles that have gained worldwide acclaim.

Inhaltsverzeichnis

Preface ix

Chapter 1 Uncertainty 1

Impact on Trading 2

The Inevitable Price Shocks 3

Why So Much about Price Shocks? 9

Complexity and Contagion Risk 10

The Ugly Side 11

Taking Defensive Action 11

Accepting Performance for What it is 13

Chapter 2 The Importance of Price Noise 15

Noise Explained 15

Different Markets 19

A Closer Look at Equity Index Markets 21

Importance of Noise 22

Determining the Strategy 25

Capitalizing on the Trend of Noise 29

Chapter 3 Pairs Trading: Understanding the Process 31

The Process 32

The Basics 32

Target Volatility 54

Home Builders 65

Using ETFs 78

Portfolio of Home Builder Pairs 84

Execution and the Part-Time Trader 89

Stop-Losses 89

Trading Intraday 90

Key Points to Remember 90

Chapter 4 Pairs Trading Using Futures 93

Futures 94

Mechanics of a Pairs Trade in Futures 97

Inflation Scares 100

Trading Energy Pairs 102

Revisiting Momentum with Energy Markets 105

A Miniportfolio of Natural Gas Pairs 112

The Inflation Pairs: Crude, the EURUSD, and Gold 119

Equity Index Pairs 128

Leveraging with Futures 138

London Metals Exchange Pairs 141

Volatility Filters 153

Interest Rate Futures 154

Summary 154

Chapter 5 Risk-Adjusted Spreads 155

Dell and Hewlett-Packard 155

Trading Both Long-Term (Hedged) Trends and Short-Term Mean Reversion 159

Gold, Platinum, and Silver 161

The Platinum/Gold Ratio 163

Implied Yield 170

The Yield Curve 174

Trend Trading of London Metal Exchange Pairs 179

Summary 184

Chapter 6 Cross-Market Trading and the Stress Indicator 187

The Crossover Trade 188

The Stress Indicator 189

Gold, Copper, and Platinum 195

Mining Companies 198

Agribusiness Pairs 206

The Major Energy Producers 208

Portfolio of Cross-Market Energy Pairs 220

Other Opportunities 226

Some Final Notes 228

Chapter 7 Revisiting Pairs Using the Stress Indicator 229

Futures Markets and the Stress Indicator 229

Equity Index Futures 230

Interest Rate Futures 238

The Portfolio Spreadsheet 245

Summary of Pairs Trading 248

Chapter 8 Traditional Market-Neutral Trading 249

Home Builders 250

Trend or Mean Reversion? 250

Basic Market-Neutral Concept 251

Volatility-Adjusting the Position Size 264

Arbing the Dow: A Large-Scale Program 267

Thoughts about Market-Neutral Trend Following 274

Market Neutral Using Futures 274

Market-Neutral Comments 277

Chapter 9 Other Stat-Arb Methods 281

Trade-Offs 282

System Briefs 282

New Highs and New Lows 290

Merger Arb 290

Creating Your Own Index Arbitrage 292

Arbing the Dow 301

Arbing the S&P 500-Index Arbitrage 302

About the Companion Web Site 305

About the Author 306

Index 307

Details
Erscheinungsjahr: 2011
Fachbereich: Betriebswirtschaft
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: 320 S.
ISBN-13: 9780470529744
ISBN-10: 0470529741
Sprache: Englisch
Einband: Gebunden
Autor: Kaufman, Perry J
Hersteller: Wiley
John Wiley & Sons
Verantwortliche Person für die EU: Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, product-safety@wiley.com
Maße: 235 x 157 x 22 mm
Von/Mit: Perry J Kaufman
Erscheinungsdatum: 08.03.2011
Gewicht: 0,621 kg
Artikel-ID: 107271070
Über den Autor

PERRY KAUFMAN has more than thirty years of experience in financial engineering and hedge funds, and is well-known for his role in algorithmic trading. Since 1971, he has specialized in the development of fully systematic trading programs in derivatives and equities as well as risk management and leverage overlays. He is the author of New Trading Systems and Methods, Fourth Edition, A Short Course in Technical Trading, both from Wiley, and other books and articles that have gained worldwide acclaim.

Inhaltsverzeichnis

Preface ix

Chapter 1 Uncertainty 1

Impact on Trading 2

The Inevitable Price Shocks 3

Why So Much about Price Shocks? 9

Complexity and Contagion Risk 10

The Ugly Side 11

Taking Defensive Action 11

Accepting Performance for What it is 13

Chapter 2 The Importance of Price Noise 15

Noise Explained 15

Different Markets 19

A Closer Look at Equity Index Markets 21

Importance of Noise 22

Determining the Strategy 25

Capitalizing on the Trend of Noise 29

Chapter 3 Pairs Trading: Understanding the Process 31

The Process 32

The Basics 32

Target Volatility 54

Home Builders 65

Using ETFs 78

Portfolio of Home Builder Pairs 84

Execution and the Part-Time Trader 89

Stop-Losses 89

Trading Intraday 90

Key Points to Remember 90

Chapter 4 Pairs Trading Using Futures 93

Futures 94

Mechanics of a Pairs Trade in Futures 97

Inflation Scares 100

Trading Energy Pairs 102

Revisiting Momentum with Energy Markets 105

A Miniportfolio of Natural Gas Pairs 112

The Inflation Pairs: Crude, the EURUSD, and Gold 119

Equity Index Pairs 128

Leveraging with Futures 138

London Metals Exchange Pairs 141

Volatility Filters 153

Interest Rate Futures 154

Summary 154

Chapter 5 Risk-Adjusted Spreads 155

Dell and Hewlett-Packard 155

Trading Both Long-Term (Hedged) Trends and Short-Term Mean Reversion 159

Gold, Platinum, and Silver 161

The Platinum/Gold Ratio 163

Implied Yield 170

The Yield Curve 174

Trend Trading of London Metal Exchange Pairs 179

Summary 184

Chapter 6 Cross-Market Trading and the Stress Indicator 187

The Crossover Trade 188

The Stress Indicator 189

Gold, Copper, and Platinum 195

Mining Companies 198

Agribusiness Pairs 206

The Major Energy Producers 208

Portfolio of Cross-Market Energy Pairs 220

Other Opportunities 226

Some Final Notes 228

Chapter 7 Revisiting Pairs Using the Stress Indicator 229

Futures Markets and the Stress Indicator 229

Equity Index Futures 230

Interest Rate Futures 238

The Portfolio Spreadsheet 245

Summary of Pairs Trading 248

Chapter 8 Traditional Market-Neutral Trading 249

Home Builders 250

Trend or Mean Reversion? 250

Basic Market-Neutral Concept 251

Volatility-Adjusting the Position Size 264

Arbing the Dow: A Large-Scale Program 267

Thoughts about Market-Neutral Trend Following 274

Market Neutral Using Futures 274

Market-Neutral Comments 277

Chapter 9 Other Stat-Arb Methods 281

Trade-Offs 282

System Briefs 282

New Highs and New Lows 290

Merger Arb 290

Creating Your Own Index Arbitrage 292

Arbing the Dow 301

Arbing the S&P 500-Index Arbitrage 302

About the Companion Web Site 305

About the Author 306

Index 307

Details
Erscheinungsjahr: 2011
Fachbereich: Betriebswirtschaft
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: 320 S.
ISBN-13: 9780470529744
ISBN-10: 0470529741
Sprache: Englisch
Einband: Gebunden
Autor: Kaufman, Perry J
Hersteller: Wiley
John Wiley & Sons
Verantwortliche Person für die EU: Wiley-VCH GmbH, Boschstr. 12, D-69469 Weinheim, product-safety@wiley.com
Maße: 235 x 157 x 22 mm
Von/Mit: Perry J Kaufman
Erscheinungsdatum: 08.03.2011
Gewicht: 0,621 kg
Artikel-ID: 107271070
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