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Index
Series
Title Page
Copyright
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 BUILDER 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 MINIPORTFOLIO OF NATURAL GAS PAIRS
THE INFLATION PAIRS: CRUDE, THE EURUSD, AND GOLD
EQUITY INDEX PAIRS
LEVERAGING WITH FUTURES
LONDON METALS EXCHANGE 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 LONDON METAL EXCHANGE PAIRS
SUMMARY
Chapter 6: Cross-Market Trading and the Stress Indicator
THE CROSSOVER TRADE
THE STRESS INDICATOR
GOLD, COPPER, AND PLATINUM
MINING COMPANIES
AGRIBUSINESS 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 the Companion Web Site
About the Author
Index
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