"Systematic M&A Arbitrage" by Yin Luo

Talk by Yin Luo, Managing Director & Global Head Of Quantitative Strategy, Deutsche Bank. From QuantCon NYC 2016.

The profitability of risk arbitrage critically depends on two key factors: how long it takes to close the deal and the probability of deal closing on its original terms. We built a logit model to predict the probability of deal closing and a survivor model to analyze deal closing time, using both deal-specific data and traditional quantitative signals. The deal time/probability adjusted M&A premium is far more precise than the traditional premium. Our systematic M&A portfolio significantly outperforms the traditional risk arbitrage strategies.

The slides for this presentation can be viewed at https://www.slideshare.net/Quantopian/systematic-ma-arbitrage-by-yin-luo-at-quantcon-2016.

To learn more about Quantopian, visit us at https://www.quantopian.com.

Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.

More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.

In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Видео "Systematic M&A Arbitrage" by Yin Luo канала Quantopian