Macro Trading and Investment Strategies: Macroeconomic Arbitrage in Global Markets

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John Wiley & Sons, Feb 8, 1999 - Business & Economics - 228 pages
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Macro Trading and Investment Strategies is the first thorough examination of one of the most proficient and enigmatic trading strategies in use today - global macro. More importantly, it introduces an innovative strategy to this popular hedge fund investment style - global macroeconomic arbitrage.

In Macro Trading and Investment Strategies, Dr. Burstein presents, with examples, the framework for traditional global macro strategies, then shows how to use macroeconomic mispricings in global financial markets to design innovative global macroeconomic arbitrage strategies for trading and investing. Packed with revealing trading case studies, examples, explanations, and definitions, this comprehensive work covers:
* Global directional macro, long/short macro, and macroeconomic arbitrage trading and investment strategies
* Causes of macroeconomic mispricings in markets; tackling secondary macroeconomic variables in trades
* The importance of technical timing in macro arbitrage
* Volatility of macro arbitrage strategies versus volatility of relative-value strategies
* Mispricing opportunities due to the effect of the Asian crisis on global markets
* Macro arbitrage of the EMU convergence mispricing in equity markets
* Mispricings of retail sales, GDP, industrial production, interest rates, and exchange rates in stock markets

In-depth and timely, Macro Trading and Investment Strategies covers an area of intense interest to today's trading and investment community and shows new opportunities. It is invaluable reading for those seeking new ways to tackle today's volatile global markets.

Gabriel Burstein (London, UK) heads Specialized Equity Sales & Trading at Daiwa Europe Limited, where he set up the department to sell European equity products to hedge funds.
 

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Contents

Comparison between Macroeconomic Arbitrage
51
Macroeconomic Arbitrage Based on Retail Sales
59
Causes of Macroeconomic Mispricings in Markets
67
The Importance of Technical Timing
73
The Relation between Macro and Micro
81
Volatility of Macro Arbitrage Strategies versus
87
Macro Arbitrage Trading and Investment Based
103
Macro Arbitrage of Consumer Expenditure
125
Mispricings of Asian Crisis Effects on Global
139
Macro Arbitrage of EMU Convergence
169
Macro Mispricings of Currencies Exchange
183
Macro Arbitrage of Industrial Production
205
Index
225
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About the author (1999)

GABRIEL BURSTEIN, PhD, was a macro proprietary trader with Goldman Sachs. He currently heads Specialized Equity Sales & Trading at Daiwa Europe Ltd., London, a group he set up to sell European equity products to hedge funds based on long/short macro and relative-value ideas. He is a frequent speaker on new long/short macro strategies and the EMU at worldwide alternative investment and hedge fund conferences. Dr. Burstein received his PhD in mathematics from Imperial College of the University of London. He has had several papers published in mathematical control theory and in mathematical modeling in neurology, neuroendocrinology, and HIV immunology.

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