Submitted by ARIEL TEIXEIRA (ateixeira@fgvmail.br) on 2014-03-14T15:38:35Z
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Pair trading in Bovespa with a quantitative approach cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.pdf: 857529 bytes, checksum: d324d9458357fb950c816b5a8bfd11d2 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2014-03-14T16:29:51Z (GMT) No. of bitstreams: 1
Pair trading in Bovespa with a quantitative approach cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.pdf: 857529 bytes, checksum: d324d9458357fb950c816b5a8bfd11d2 (MD5) / Approved for entry into archive by Maria Almeida (maria.socorro@fgv.br) on 2014-04-09T14:58:17Z (GMT) No. of bitstreams: 1
Pair trading in Bovespa with a quantitative approach cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.pdf: 857529 bytes, checksum: d324d9458357fb950c816b5a8bfd11d2 (MD5) / Made available in DSpace on 2014-04-09T14:58:29Z (GMT). No. of bitstreams: 1
Pair trading in Bovespa with a quantitative approach cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.pdf: 857529 bytes, checksum: d324d9458357fb950c816b5a8bfd11d2 (MD5)
Previous issue date: 2014-02-17 / Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.
| Identifer | oai:union.ndltd.org:IBICT/oai:bibliotecadigital.fgv.br:10438/11605 |
| Date | 17 February 2014 |
| Creators | Teixeira, Ariel Amadeu Edwards |
| Contributors | Gonçalves, Edson Daniel Lopes, Camargo, Sabrina, Azevedo, Rafael Moura, Escolas::EMAp, Silva, Moacyr Alvim Horta Barbosa da |
| Source Sets | IBICT Brazilian ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional do FGV, instname:Fundação Getulio Vargas, instacron:FGV |
| Rights | info:eu-repo/semantics/openAccess |
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