I haven't read Mr. Pole's book. But I google my name from time to time, and found it on Page 1 (in the Wiley PDF preprint, which I assume is the same as the released version). Mr. Pole states that he was "unable to confirm" the origins of pair trading (and, by extension, statistical arbitrage). I do not know Mr. Pole, and I know of no efforts he may have made to contact me. So much for Page 1. I read no further.

In contrast, Rick Bookstaber, who interviewed many people who were at Morgan at the time, was able to confirm those origins. I would refer you to his fine book, "A Demon of our Own Design," which is not only well researched and a great read, but (for those value seekers out there) is priced substantially lower than Mr. Pole's book. I would have thought Mr. Bookstaber put all this nonsense to rest. Must I write my own book?

Gerald ("Gerry") Bamberger

what makes the high dispersion? seems either the 1star or the 5star bunch is fake. who do u believe? i persoanlly found this book terrible, one of the biggest disappointments on my reading list. save the trees man

what makes the high dispersion? seems either the 1star or the 5star bunch is fake. who do u believe?

Like some other people, I got attracted by the title and ordered it even before it was released. Indeed, unlike the earlier publications by Vidyamurthy (2004) and Dunis, Laws and Naim (2003), this book is probably the very first one dedicated entirely to Statistical Arbitrage.

Regrettably, its quantitative content is well below that of abovementioned books. As the author himself put it, "... nearly all temptation to compose a technical treatise has been resisted." As a result, all the technical stuff I learned from it can be summarized as follows: 1) the traded spread is very often non-stationary, but can be treated as locally stationary and 2) after 2004, the spread began exhibiting much sharper reversions to the mean ("catastrophe process") which complicated the trading.

None of these ideas, however, are presented in more or less strict quantitative form. I hoped that the bibliography would provide clues as to the particular models employed, but to no avail: the list of sources is quite short (22 items) with the majority of quantitative sources being obsolete (over ten years old).

All in all, this book is very much like a popular article and is not worth its price from a quant's perspective.

some interesting concepts but all very vague.There are very few practical ideas that can be taken out of this book and it's way too expensive for what it is. One would be better off by googling the table of contents of this book than by actualy reading it.

This brilliant book is the best ticket to the exotic world of statistical arbitrage for the novice, as well as a cornucopia of insights for the expert. Being a relatively new discipline, statistical arbitrage is lucky to find in Andrew Pole the kind of authoritative historian and analyst that it takes other areas of human endeavor centuries to come upon. New, but inordinately important: billions of dollars are wagered every day on the punter's faith in his or her unassailable command of the principles expounded here by Mr. Pole. Well, the punters could do worse than to follow a "belt-and-suspenders" approach and spend $59.85 on this book, just to be on the safe side.

I read a Random Walk and loved it until I read Statistical Arbitrage and began to rethink its underlying premise. Written by a true expert in the field, who performs statistical analysis on a daily basis, this book shows that with the right skill and knowledge it is, indeed, possible to predict the market with the help of quantitative analysis. A must read.

Just Horrible. Don't waste your money or your time. The author has a tremendous ability to go on and on without saying anything of significance. It's a typical attempt to make money by creating a useless
book. Take it from me because I wasted my money and I'm only trying to help others. After reading a book like this, it also make me wonder what the process is by which a book is published ? Maybe I can write my own book today if the process is that faulty ?

This book is totally a trash in my view. I place one star because I cannot place 0. I am extremely disappointed since I had waited for several month before it got published.

It is full of fansy sentences and words without any real useful meaning. After reading the book, I get no idea of improving my current statistical arbitrage strategy.

It is of no real usage, although it is written by a MD. Save your time and money!

The book, which is clearly written for serious quantitative analysts, is also clearly written by someone with deep theoretical and practical knowledge of this area. I was surprised by how willing the author was to share hard won knowledge. This makes the book very valuable to the serious investigator who wishes to ascend the learning curve as quickly as possible. Some of the explanations are terse and required several readings but the effort is worth it. Highly recommended for the right audience.

Buying this book is (too late for me) a total waste of money. On page 52, u ll read:
"3.4.5. fractal Analysis
We refer the interested reader to the inventor, Benoit B. Mandelbrot 2004, who tells it best."
...and that s it.
This is not serious Mr Pole! Well, surf Google for free. This will tell u best about everything this "book" is about, from GARCH to exponential moving averages and other under-grad materials.