Pairs Trading : Quantitative Methods and Analysis (Wiley Finance)

Rating:
Summary: Difficult read
Review: I found this book to be very difficult to read. The statistical mathematics are staggering. I have undergraduate minors in math and physics. I also have experience with statistics, but was lost without hope by page 15. Unless you have experience in sophisticated mathematical modeling, the value which may be within these covers will forever remain a secret. Mere CPA's and MBA's? Forgeddaboutit.

Rating:
Summary: Excellent Book
Review: I totally have to disagree with the first reviewer. I would rather say the opposite: the book is mathematically too simple in many places. But on the other hand it is not a statistics book. The book tries to explain complicated matters in a simple way. If you have no idea about stochastic processes, ARIMA-models, cointegration, stationarity,... then this book might not be the right one for you. But honestly: then pairs trading might not be the right thing for you either. Pairs trading is based on statistical concepts. This book only gives a brief idea of what statistical concepts are of use for pairs trading and how to apply them. If you really want to go into pairs trading, you will have to get much deeper into statistics then then this book does or can do. In my opinion the book does a brilliant job in giving you a link between statistical models, pairs trading and financial models (like the APT). I also bought the book "Trading Pairs" by Mark Whistler, and I must say i was rather disappointed, as, to my opinion, the book does not tell you what pairs trading is really about, but the book by Ganapathy Vidyamurthy does.

Rating:
Summary: Poorly written
Review: If you want to become a pairs trader, you might want to find a quick primer. Unfortunately this book is not it. It's very poorly written and very confusing. While it does delve into much of the statistics you'll need to know to implement pairs trading stratgies, the coverage is neither sophisticated enough to allow you to start applying theory right away, nor simple enough for a non-math person to grasp easily. The book does not serve any practical purposes. If you want to do pairs trading, take a couple statistics classes and try to find a job as a junior person at a hedge fund specializing in this strategy.

Rating:
Summary: Excellent Introduction of Statistical arbitrage
Review: In general, people know the terminology of "arbitrage", but do not know the statistical arbitrage, or even if professional traders do not know the distinction between risk arbitrage and statistical arbitrage. The book provides very good introduction of statistical arbitrage and risk arbitrage. Easy to read and you can get useful information.

Rating:
Summary: Good introduction
Review: Not very thorough from a mathematical viewpoint, but then the purpose of the book is not to teach you statistics.