配对交易
Pairs Trading
Ganapathy Vidyamurthy · 初版 2004 年
3人推荐
4位读者提及
4次提及
首部对配对交易进行深度剖析的著作。配对交易是最纯粹形式的市场中性策略。该策略包括做多（看涨）一种资产并做空（看跌）另一种资产。如果操作得当，无论市场上涨还是下跌，投资者都能获利。Pairs Trading 揭示了这一严谨量化分析方案的秘诀，为个人和投资机构提供了成功实施这一成熟交易方法并从中获利所需的工具。Pairs Trading 包含了用于识别和投资配对标的的具体且经过验证的公式，以及
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在绝大多数交易所里，流动性提供者做交易都是有钱拿的（挂单-吃单模式 / maker-taker model）。补充编辑：我可不是说这是一本好书。它不是。我推荐 Vidyamurthy 的《配对交易》（Pairs Trading）和 Harris 的《交易与交易所》（Trading and Exchanges），不过说实话，这种交易风格的好书真的不多——任何精通此道的人都没有动力去为此写书。
Liquidity providers get paid to trade on most exchanges (maker-taker model). ETA: That's not to say this is a good book. It's not. I'd recommend Vidyamurthy's Pairs Trading and Harris's Trading and Exchanges, but there really aren't many good books on this style of trading--anyone who knows how to do it well has no incentive to write a book on it.
同意楼上，做这类实验我也推荐 Interactive Brokers。如果想找一本既通俗易懂又内容完备的基础交易设计入门书，Vidyamurthy 的《配对交易》（Pairs Trading）相当扎实。这个策略可能早就被大家薅秃了，但这本书在阐明如何寻找优势（edge）和最小化滑点（slippage）的通用流程方面做得很出色。
Seconding interactive brokers for this type of experiment. For a reasonably accessible, yet complete introduction to basic trade design, 'Pairs Trading' by Vidyamurthy is quite solid. The strategy may well be picked clean, but the book does a commendable job in exposing the general process of finding edge and minimizing slippage.
我会给初学者推荐的书：实证技术分析（Evidence Based Technical Analysis）：http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie... 配对交易（Pairs Trading）：http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana... 量化交易（Quantitative Trading）：http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... 高频金融导论（An Introduction to High Frequency Finance）：http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...……
Books I would recommend for beginners: Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie... Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana... Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...…
……你自己的交易分析项目。当年我写着面条般的 Mathematica 代码，线性代数也一窍不通，但我就硬生生把 Ganapathy Vidyamurthy 那本《配对交易》（Pairs Trading）里的概念给实现了出来。那代码写得极烂，整整1200行过程式代码，没函数也没对象，但他们能看出我在数学上能搞得定、学得快，而且有干劲和……
…your own trade analysis projects. I was writing spaghetti mathematica code and had a poor linear algebra understanding when I wrote up an implementation of the concepts in Ganapathy Vidyamurthy's book Pairs Trading. It was terrible code that was 1200 lines of procedural, no functions, no objects code, but they could see that I could hack it when it came to the math, could learn on my feet, and had the drive and…