关联交易策略:机会与局限

The Journal of Trading Pub Date : 2016-09-30 DOI:10.3905/jot.2016.11.4.014

G. Meissner

{"title":"关联交易策略:机会与局限","authors":"G. Meissner","doi":"10.3905/jot.2016.11.4.014","DOIUrl":null,"url":null,"abstract":"This article gives an overview of and analyzes the most popular correlation trading strategies in financial practice. Six correlation strategies are discussed: 1) empirical correlation trading, 2) pairs trading, 3) multiasset options, 4) structured products, 5) correlation swaps, and 6) dispersion trading. Additionally, this article briefly focuses on trading correlation and outlines the risk managing properties of correlation products.","PeriodicalId":254660,"journal":{"name":"The Journal of Trading","volume":"74 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2016-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"8","resultStr":"{\"title\":\"Correlation Trading Strategies: Opportunities and Limitations\",\"authors\":\"G. Meissner\",\"doi\":\"10.3905/jot.2016.11.4.014\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This article gives an overview of and analyzes the most popular correlation trading strategies in financial practice. Six correlation strategies are discussed: 1) empirical correlation trading, 2) pairs trading, 3) multiasset options, 4) structured products, 5) correlation swaps, and 6) dispersion trading. Additionally, this article briefly focuses on trading correlation and outlines the risk managing properties of correlation products.\",\"PeriodicalId\":254660,\"journal\":{\"name\":\"The Journal of Trading\",\"volume\":\"74 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2016-09-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"8\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The Journal of Trading\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jot.2016.11.4.014\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Journal of Trading","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jot.2016.11.4.014","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 8

摘要

本文对金融实践中最流行的关联交易策略进行了概述和分析。讨论了六种相关策略:1)经验相关交易，2)配对交易，3)多资产期权，4)结构性产品，5)相关掉期和6)分散交易。此外，本文简要介绍了交易相关性，并概述了相关产品的风险管理特性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Correlation Trading Strategies: Opportunities and Limitations

This article gives an overview of and analyzes the most popular correlation trading strategies in financial practice. Six correlation strategies are discussed: 1) empirical correlation trading, 2) pairs trading, 3) multiasset options, 4) structured products, 5) correlation swaps, and 6) dispersion trading. Additionally, this article briefly focuses on trading correlation and outlines the risk managing properties of correlation products.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

The Journal of Trading

自引率

0.00%

发文量