Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds

Pair trading is a statistical trading strategy based on the concept of mean reverting; investors select two related assets and establish a relation between them buying the underpriced asset and selling the overpriced. When the market returns to the equilibrium the strategy create profit from the sho...

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Detalles Bibliográficos
Autor Principal: Fajardo Rodriguez, Sandra Milena
Otros Autores: Castro, Carlos
Formato: Tesis de maestría (Master Thesis)
Lenguaje:Español (Spanish)
Publicado: Universidad del Rosario 2017
Materias:
Acceso en línea:http://repository.urosario.edu.co/handle/10336/13700
Descripción
Sumario:Pair trading is a statistical trading strategy based on the concept of mean reverting; investors select two related assets and establish a relation between them buying the underpriced asset and selling the overpriced. When the market returns to the equilibrium the strategy create profit from the short and long position. The empirical application of this paper proposes the evaluation of three methodologies for the implementation of the pair trading strategy using the information of Colombian public debt bonds. Finding that after applying two methodologies of backtesting stochastic stochastic approach show the best perfomance.