Index
A
Aggressive trading
Akaike information criterion (AIC)
Alza Pharmaceuticals
American Home Products (AHP)
Analysis step
APT. See Arbitrage pricing theory
Arbitrage pricing theory (APT)
Arcsine law
ARMA model
ARMA process
Arrow-Debreu theory
Asset returns
Autocorrelation
Autoregressive process (AR)
B
Band design
BARRA model
Baruch, Bernard
Berkshire Hathaway
Beta
Bias
Bidder firm
Bidder stock
Bipartite graph
Boesky, Ivan
Bonds, issuing
Bootstrap technique
Bounds, on position size
Box, George
Box-Jenkins approach
Broker
Brownian motion
Buffett, Warren
Burmeister, Ibbotson, Roll, and Ross (BIRR) model
C
Cantor
Capital Asset Pricing Model (CAPM)
asset returns
beta
market portfolio
security market line (SML)
Capital structure
CAPM. See Capital Asset Pricing Model
Cash amount, in a deal
Chinesing
Chi-square merit function
Close-close method
Cohn, Harry
Cointegration
application of
coefficient
common trends model
error correction
Collars
Common drift
Common factor risk
Common factor spread
Common trends cointegration model
Common trends model and APT
Compaq Computers Company (CPQ)
Complexity theory
Conditional mean
Conditional variance
Conservative trading
Control theory
Corporate events
Correlation
Correlogram
Cost function
Covariance
Covariance matrix
D
Deal
process
spread
Debt, issuing
Definitive agreement
Deviations from ideal conditions
Differencing
Dinic’s algorithm
blocking flow
flow augmenting paths
residual graph
steps in algorithm
Discretization effect
Distance ...
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