Ebook The Complete Arbitrage Deskbook, by Stephane Reverre
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The Complete Arbitrage Deskbook, by Stephane Reverre
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The Complete Arbitrage Deskbook explains every aspect of the types, instruments, trading practices, and opportunities of modern equity arbitrage. It travels beyond U.S. borders to examine the worldwide opportunities inherent in arbitrage activities and demonstrates how to understand and practice equity arbitrage in the global professional environment. Written specifically for traders, risk managers, brokers, regulators, and anyone looking for a comprehensive overview of the field of equity arbitrage, this groundbreaking reference provides: Details of the financial instruments used in equity arbitrage―stocks, futures, money markets, and indices Explanations of financial valuation and risk analysis, tailored to the characteristics of the underlying position and market environment Examples of actual arbitrage situations―presenting a real-life snapshot of equity arbitrage in action The Complete Arbitrage Deskbook is the only book to combine operational details with practical analysis of modern equity arbitrage. Concise in explanation yet comprehensive in scope, it provides an integrated overview of both the practices and the possibilities of the modern equity arbitrage marketplace.
- Sales Rank: #1374466 in Books
- Published on: 2001-04-25
- Original language: English
- Number of items: 1
- Dimensions: 9.10" h x 1.70" w x 6.20" l, 1.91 pounds
- Binding: Hardcover
- 508 pages
From the Back Cover
How to Understandand Take Advantage ofArbitrage Opportunities in Modern Financial Markets
The Complete Arbitrage Deskbook explains every aspect of the types, instruments, trading practices, and opportunities of modern equity arbitrage. It travels beyond U.S. borders to examine the worldwide opportunities inherent in arbitrage activities and demonstrates how to understand and practice equity arbitrage in the global professional environment.
Written specifically for traders, risk managers, brokers, regulators, and anyone looking for a comprehensive overview of the field of equity arbitrage, this groundbreaking reference provides:
- Details of the financial instruments used in equity arbitragestocks, futures, money markets, and indices
- Explanations of financial valuation and risk analysis, tailored to the characteristics of the underlying position and market environment
- Examples of actual arbitrage situationspresenting a real-life snapshot of equity arbitrage in action
The Complete Arbitrage Deskbook is the only book to combine operational details with practical analysis of modern equity arbitrage. Concise in explanation yet comprehensive in scope, it provides an integrated overview of both the practices and the possibilities of the modern equity arbitrage marketplace.
"Through the examination of actual examples and practical situations, the goal is to achieve an integrated view of arbitrage opportunities, precisely as a trader would see them..."
From the Introduction
When used with skill and caution, equity arbitragedespite relentlessly negative press and widespread popular misconceptionsis a very low-risk strategy. It only becomes perilous in the hands of the inexperienced or overconfident. The Complete Arbitrage Deskbook provides anyonefrom capital market professionals to private traders to non-professionals with a serious interest in understanding Wall Street and its intricacieswith a safe, solid foundation in the essential knowledge of equity arbitrage trading.
Before you can successfully employ equity arbitrage in the marketplace, you must first develop a complete understanding of its mathematics and practice. The Complete Arbitrage Deskbook covers every aspectmechanics, opportunities, risks, and valuation principlesto help you move forward with knowledge and confidence. In-depth descriptions and demonstrations of each pertinent financial instrumentstocks, futures and other derivatives, money market instruments including interest rate swaps, and stock indicesshow you what you need to know to manage these and where to focus your attention in terms of risk management. Detailed sections provide hands-on information about:
- Convergence continuums
- Cross-exchange listing
- Closed-end and convertible funds
- Holding companies
- Oscillators
- Mark-to-market versus theoretical valuation
- Valuation and random variables
- Risk management principles and tools, including value-at-risk
- Index arbitrage and absolute convergence
- Risk arbitrage and explicit convergence
- Pair trading and technical trading
Fallacies about what arbitrage isand is notare common among financial professionals. Concise yet comprehensive, The Complete Arbitrage Deskbook sidesteps fallacy to present fact. It is the only comprehensive overview of the opportunities and perils in the arbitrage marketsand today's only complete overview and practical analysis of modern equity arbitrage.
About the Author
Stephane Reverre works for Leading Market Technologies, specializing in analytical tools for institutional investors. He is the former head of index arbitrage and quantitative trading for the Tokyo and later New York offices of Société Générale, one of the largest French banks and a leader in the field of equity derivative trading. A graduate of École Central in Paris as well as the Harvard Business School MBA program, Reverre has provided consulting services for software and trading companies and has published numerous articles on equity arbitrage in specialized magazines and publications.
Most helpful customer reviews
10 of 10 people found the following review helpful.
Difficult, but comprehensive read
By Winston Kotzan
The Arbitrage Deskbook is thorough guide to arbitrage trading strategies. It is extremely comprehensive, covering arbitrage in all markets - from equities, to bonds, to commodity futures, and more. Most important is that it gets the reader to think like an arbitrageur and recognize the arbitrage opportunities presented by different situations.
This book is so comprehensive, that it does sacrifice some depth for breadth. Many complicated math problems are glossed over; it is difficult to understand some concepts thoroughly because the examples are not explained to great detail. If you see an important section, I suggest rereading it several times for better understanding.
In general, the author seems to expect the reader to have intermediate to advanced academic knowledge of finance. Familiarity with financial math and formulas will make this book easier to read. I suggest having some introductory college-level finance courses before reading, because the formulas presented may seem very cryptic if you've never seen them before reading this book.
In general, I think this is a great tool as a reference and for getting familiar with arbitrage. Don't expect to know everything by reading through it one time - there is too much information to remember on a single pass. Rather, try using this to learn how an arbitrageur seeks opportunity and then reference the topics later as you need them (i.e. keep this deskbook on your desk!). This is a great read for any student interested in entering proprietary trading or hedge funds.
29 of 30 people found the following review helpful.
Very comprehensive, but may not suit all time frames
By Rahul Mahajan
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.
12 of 16 people found the following review helpful.
Unfortunately, a better text probably does not exist
By A Customer
The contents of this book fluctuate from the interesting and informative, to the staggeringly useless. The three sections of the book are as follows: 1) A general overview of various types of arbitrage which is quite good, but is punctuated with mundane irrelevancies about trade settlements and technical calculations of risk and return factors. 2) A section of algebraic masturbation intended to imply that you can actually quantify risk in an arbitrage portfolio. 3) Some examples of real-world arbitrage situations that are generally instructive, but not comprehensive enough. Overall I think this book was a good attempt, but is much more suited to a dry finance course than real-world application. Unfortunately, a better text probably does not exist.
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