G*******m
发帖数: 16326 | 1 arbitrage，但听说过quasi arbitrage 吗？ |
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t**********a
发帖数: 166 | 2 arbitrage in what sense?
If it is the arbitrage in no arbitrage pricing theory, I can't believe it...
If it is statistical, that's useless. |
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s**a
发帖数: 178 | 3 Firm: Top Hedge Fund
Loc: NYC
Position: Senior Quant/Developer for Quantitative Arbitrage
Description:
We are seeking a senior quant/developer to take a leadership role in some of
our proprietary quantitative arbitrage strategies.
The ideal candidate will have a degree in computer science, statistics,
applied math or related field from a top university, strong C/C++
programming skills, and experience working in quantitative arbitrage or
systematic trading strategies in equities, options, futures |
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s****n
发帖数: 1237 | 4 option pricing一种方法是no-arbitrage，就是说如果定高了，可以short option，然
后找到self-financing replicate strategy来赚取差价。
如果是binomial tree我还能找到相应的(\alpha,\beta)，说出怎么来arbitrage。但是
如果是general BS model，应该怎么描述呢？
假设已知当前S0,r,T,K,\simga，然后有一个BS出来的理论c值。现在市场上面交易的c'
大于c，那我们怎么做才能arbitrage呢？ 如果说short c'，buy stock，那在T的时候
stock可能远低于S0，不就不保证获利了吗？ 另外我们应该买多少的stock呢 c'/S0？
不好意思，binomial tree的每一步我能理解和算出来，但是到了BS就想不通了，请高
手指点。 |
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d*******h
发帖数: 5065 | 5 你试过了？arbitrage的机会都是转瞬即逝，你hold太久那就不叫arbitrage。 |
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S*******s
发帖数: 13043 | 6 when ppl talk arbitrage, they actually talk statical arbitrage. which mean
highly likely to make money. |
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G*******m
发帖数: 16326 | 7 enhanced quasi arbitrage，又是什么呢？ |
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B*********h
发帖数: 800 | 8 ☆─────────────────────────────────────☆
circumfly (nbzx) 于 (Thu Aug 2 09:30:29 2007) 提到:
Dear all,
I am very interested in statistical arbitrage and quantitative trading.
Could anyone please tell me what
houses or firms are most famous for statistical arbitrage? I hear a few of
them: D E Shaw? ESL ? and.....
Comments are welcome!!
Cheers,
☆─────────────────────────────────────☆
tokyo (我爱clips) 于 (Thu Aug 2 09:40:31 2007) 提到:
hmm, of course medallion fund, flagship of renaissance
☆── |
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p***i
发帖数: 96 | 9 呵呵，给你说几个，别告诉别人啊，哈。。。
pair trading(statistical arbitrage), bottom fishing, trading news,martingale
arbitrage...等等
先看看turtle trading的公开教材，比较有系统，把入场、出场（止损、提取利润）、
仓位控制都讲了。
交易的关键在于解释清楚为什么有的策略能用过去的表现来预测将来的表现，这个桥梁
解决好了，你离成功就不远了。不过，纯技术分析对于这个桥梁的解释无能为力。。。可基本面分析又是看长期的，导致backtest的powerful不够，或者根本不能backtest。所以，现在wall st.上流行technical feeling...加上feeling就是说无法言传。。。哈。其实有什么无法言传的，借口罢了。 |
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b***k
发帖数: 2673 | 10 ☆─────────────────────────────────────☆
kink (hehe) 于 (Tue Apr 22 12:24:29 2008) 提到:
Plan to do some self study. Anyone suggests some good materials out there on
this subject?
☆─────────────────────────────────────☆
dearfishing (前世今生) 于 (Tue Apr 22 21:33:11 2008) 提到:
"Inside Volatility Arbitrage" is a nice one.
http://www.amazon.com/Inside-Volatility-Arbitrage-Secrets-Skewness/dp/0471733873/ref=pd_sim_b_img_4
on
☆─────────────────────────────────────☆
Francais (cais) 于 (Tue Apr 22 |
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s***r
发帖数: 97 | 11 不是他家。。。
另外，除了arbitrage的desk head，还有risk的人来面。看看基本的risk的东西够用吗
？arbitrage组的risk还有什么特别的吗？牛人给说说吧～sorry for dumb questions.
..没有实习经验，工作经验。。 |
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w**********y
发帖数: 1691 | 12 Intuition maybe. Depends on it is options or delta 1
For ex if ur estemated daily vol is 40. Monthly is 30. What u get from this.
Any arbitrage strategy.
Or maybe Sth like pairs trading
恩恩，C 好久没写了，一直用R和python。。老大来面一般都问什么？我倒是上过一些
金融数学的课，主要是option pricing，不知道arbitrage都用哪些数学，统........
★ Sent from iPhone App: iReader Mitbbs 7.52 - iPad Lite |
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d*******h
发帖数: 5065 | 13 Do your own math!
Rule No.1: never hold bitcoin when do arbitrage |
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d*******h
发帖数: 5065 | 14 That's not arbitrage!
Do you really have a house? |
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|
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d*******h
发帖数: 5065 | 17 I am talking about apple, you are talking about orange.
I am talking about arbitrage, you are talking about buy and hold. |
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a**d
发帖数: 55 | 18 It's not an arbitrage. The underlying of VXX is not the Oct future. It is
the vix future with constant maturity (1m). The reason for its jump more
than Oct future contract is because the convexity of the vix future curve. |
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S*********g
发帖数: 5298 | 19 This is not arbitrage
this is rather a spread because VXX is based on a continuous rolling
schedule
from the front contract to the second contract |
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d********1
发帖数: 3828 | 20 vxx就是通过交易vix future实现的，所以long vxx就是操作vix future。你这样说就
等于说单单操作vix future可以实现arbitrage。 |
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S*******s
发帖数: 13043 | 21 y, you got it.
but why exagaerate the impact of the shrinking spread. as long as there is
spread, theoretically there is arbitrage. and now the spread is big enough
to make it practical. |
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G*******m
发帖数: 16326 | 22 Synthetic arbitrage之类的策略，在现在高能环境下，都是不适用的。 |
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i**********o
发帖数: 5993 | 24 【 以下文字转载自 Stock 讨论区 】
发信人: caoy (caoy), 信区: Stock
标 题: 用改进的delta neutral方法来volatility arbitrage
发信站: BBS 未名空间站 (Tue Jun 7 11:53:09 2011, 美东)
我觉得有必要把这个方法单独写一个帖子. 作为前面写的两篇的应用.
[1]根据历史股价估算options implied volatility
[2]超快速估算ATM call的贵贱
当期权的implied volatility和historical (realized) volatility相差很大的时候,
我们可以用经典的delta neutral的方法来trade 这个volatility spread, 不过要加一
点改进. (改进的historical vol的估算, 参见[1]).
之所以称作改进的delta neutral, 是因为此时, 我们需要再比较一下call/S 跟你的止
损百分比 (参见[2]), 如果前者比较大, 则我们可以确认了应该short implied volatility... 阅读全帖 |
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z****g
发帖数: 1978 | 25 这个其实具体还是要看implied volatility.
我记得看到过一个理论，把arbitrage分成level 1和level 2，level 1就只是call-put
parity, level 2包括各种butterfly， calendar. 好像在implied volatility
surface满足某种情况
下，的确可以这么做。不过要是小散做，基本就要看运气了。 |
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x****x
发帖数: 87 | 26 i try to arbitrage in stock index future in china.
and i have known some models about it, but i need more.
would you so kind let me know relative papers or books?
Email: f****************[email protected]
many thanks |
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i*****e
发帖数: 218 | 27 Hi,
Can anyone provide links to good tutorial of statistical arbitrage ?
Thanks in advance. |
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d**s
发帖数: 920 | 28 I recently read two ETF books, both books claim there are Arbitrage
opportunities for ETF.
How do you think about it ?
Is it only for big guys (or institutional investor? ) |
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h*y
发帖数: 1289 | 29 as far as i know, arbitrage opportunity does exist in theory for ETF. But th
ere are some other issues that prevent you taking advatange of it.
.. |
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b*******r
发帖数: 32 | 30 What are the ETF books you read? Can you describe arbitrage
opportunities mentioned in the books? |
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g****3
发帖数: 49 | 31 Can you explain in detail, what kind if issue will prevent you taking
advantage of miss pricing opportunities of ETFs?
And for LZ, can you represent the arb strategies, is it arbitrage between
ETFs or between ETF and underlying?
Thanks,
George
th |
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p****u
发帖数: 2596 | 32 Well, index arbitrage require huge amount of capital, |
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l****y
发帖数: 92 | 33 Suppose that a long put with strike $100 is selling for $10, and a long call
with strike $110 (on the same stock with same maturity T) is selling for $
11.5. The spot price of the asset is $100, and discount exp^(-rT)=0.9. Does
an arbitrage exist? If yes, how to construct it? If no, how to prove it? |
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l****y
发帖数: 92 | 34 I did it using put-call parity and I couldn't find arbitrage, however how to
prove it? |
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l****y
发帖数: 92 | 35 Yes, so we can calculate C(K=100) and P(K=110) from the p-c parity. All
these values satisfy the lower and upper bounds for call, put options, so it
seems no arbitrage. |
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i****e
发帖数: 78 | 36 there is no arbitrage, but should be a good deal.
short put, short underlying, and buy the call to
construct a bear call spread. save the premium earning
interest. the premium will grew to (110-11.5)/0.9=109.5.
at expiry,
if S<100, will be put a underlying to cover the
short underlying position by paying $100, call will be 0,
so the profit is 190.5-100=9.5.
if S>110, put will be zero, call one underlying with $110
to cover the short underlying position. will lose 0.5
if 100 |
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j******0
发帖数: 162 | 37 什么叫做vol arbitrage,你能先讲讲你的理解不 |
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b********x
发帖数: 6 | 38 一Goldman大牛昨天和我说他在的vol arbitrage group doing exceptionally well
now |
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J**********y
发帖数: 1891 | 39 hedge的定义是什么？
perfect hedging呢？
是否是能够perfect hedging的资产就能用no-arbitrage pricing? |
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r****t
发帖数: 10904 | 40 hedgeable is equivalent to replicable. I do not know perfect hedging, but no
-arbitrage should be the principle of pricing, AFAIK. |
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s********0
发帖数: 398 | 41 就是Highbridge Capital Management，好像和JPM有关联的一个公司
他家的Statistical Arbitrage是自动化交易还是由trader来交易？前者的话做quant比较爽，后者的话有点像投行的desk quant了不太爽吧？
和DE Shaw, Two Sigma, Worldquant相比如何？ |
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s********0
发帖数: 398 | 42 就是Highbridge Capital Management，好像和JPM有关联的一个公司
他家的Statistical Arbitrage是自动化交易还是由trader来交易？前者的话做quant比较爽，后者的话有点像投行的desk quant了不太爽吧？
和DE Shaw, Two Sigma, Worldquant相比如何？ |
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A*****s
发帖数: 13748 | 43 两个variable，统计上看一个比另一个动的早
想在其中找statistical arbitrage，frequency也不是很高
有什么比较容易上手的材料？谢谢！ |
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s***r
发帖数: 97 | 44 恩恩，C++好久没写了，一直用R和python。。老大来面一般都问什么？
我倒是上过一些金融数学的课，主要是option pricing，不知道arbitrage都用哪些数
学，统计？ |
|
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h******a
发帖数: 198 | 46 请问什么是statistical arbitrage? 有大牛搞这个的吗？ 科普一下吧 谢谢啦！ |
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t******g
发帖数: 462 | 47 Arbitrage Spreads On Pending Mergers & Acquisitions -2-Last update: 10/7/
2010 10:19:52 AM
GLG Partners Inc. (GLG), Man Group Plc (Private)
Premium offered: $0.01 or 0.28%
Acquirer: Man Group
Target: GLG
Offer per share: $4.50 cash
Value of outstanding common equity: $1,130,580,000
Target share price: $4.49
Acquirer share price: N/A
Expected closing: 10/12/2010 10/12/2010
Annualized gain: 20.33%
Note: Under the terms of the deal, GLG's principals - Noam Gottesman, Pierre
Lagrange and Emmanuel Ro... 阅读全帖 |
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w*********7
发帖数: 2883 | 48 【 以下文字转载自 JQCLUB 俱乐部 】
发信人: winnie91107 (爱的承诺), 信区: JQCLUB
标 题: Arbitrage Spreads On Pending Mergers & Acquisitions
发信站: BBS 未名空间站 (Wed Feb 16 11:12:47 2011, 美东)
The following provides information on selected mergers and acquisitions. All
figures are updated by Dow Jones Newswires, with share prices as of 10:00 a
.m. ET Wednesday.
Annualized rate of return is based on Wednesday's date and the expected
closing date and isn't compounded. Expected closing dates are compiled from
company statements... 阅读全帖 |
|
w*********7
发帖数: 2883 | 49 【 以下文字转载自 JQCLUB 俱乐部 】
发信人: winnie91107 (爱的承诺), 信区: JQCLUB
标 题: Arbitrage Spreads On Pending Mergers & Acquisitions
发信站: BBS 未名空间站 (Wed Feb 16 11:12:47 2011, 美东)
The following provides information on selected mergers and acquisitions. All
figures are updated by Dow Jones Newswires, with share prices as of 10:00 a
.m. ET Wednesday.
Annualized rate of return is based on Wednesday's date and the expected
closing date and isn't compounded. Expected closing dates are compiled from
company statements... 阅读全帖 |
|
b*****p
发帖数: 9649 | 50 Arthur Hill On Goals, Style and Strategy
http://stockcharts.com/school/doku.php?id=chart_school:trading_
Before investing or trading, it is important to develop a strategy or game
plan that is consistent with your goals and style. The ultimate goal is to
make money (win), but there are many different methods to go about it.
As with many aspects of trading, many sports offer a good analogy. A
football team with goals geared towards ball control and low-scoring games
might adapt a conservative sty... 阅读全帖 |
|
