The Complete Arbitrage Deskbook
Author: Stephane Reverre
List Price: $59.95
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ISBN: 0071359958
Publisher: McGraw-Hill Trade (04 April, 2001)
Sales Rank: 39,335
Average Customer Rating: 3.89 out of 5
Customer Reviews
Rating: 2 out of 5
definitely not technical !
I bought this book in order to improve my knowledge on arbitrage. I was expecting to find some practical applications on the market like on (equity) pairs trading, yield curve arbitrage. The book provides a very broad and general overview on the concept of arbitrage and it is a very good book for someone who wants to understand the meaning of arbitrage and how and where he can do it. If you already know what arbitrage is, you dont need to read it.
Rating: 3 out of 5
good introduction, but lack of depth...
This is a broad introduction into equity arbitrage world, but not much depth is provided. There is a better book on risk arb by Moore. I am still looking for a "real" book on statistical arb.
Rating: 5 out of 5
Very comprehensive, but may not suit all time frames
Reverre has written a very comprehensive book, covering all instruments. Quite importantly, he has gone beyond conventional merger arbitrage for the equity markets, and details both fundamentally based equity arbitrage techniques and statistical arbitrage, based on return correlations. The optimal audience is probably financial institutions with a speculative timeframe of a few days and upwards. The outlined methodologies do not include intraday arbitrage; however, the astute trader could probably modify the interday strategies to the intraday trading horizon, by constantly monitoring evolving bid and ask spread differentials at the microscopic level, rather than monitoring conventional interday spreads (without placing too much, if any, emphasis on bid-ask differentials). For the private trader, the book does provide some food for thought; however, unless a private trader has access to cutting edge technology and the appropriate price feeds, he will not be able to effectively execute too many of the posited strategies.
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