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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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
id ir-10336-13700
recordtype dspace
spelling ir-10336-137002019-09-19T12:37:54Z Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds Fajardo Rodriguez, Sandra Milena Castro, Carlos Pairs trading Spread process Cointegration Distance method Fixed income Economía Relaciones comerciales Comercio exterior Inflación y contabilidad Cointegración 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. 2017-07-24 2017-08-19T08:17:18Z info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/13700 spa info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Maestría en Finanzas Cuantitativas Facultad de Economía reponame:Repositorio Institucional EdocUR instname:Universidad del Rosario
institution EdocUR - Universidad del Rosario
collection DSpace
language Español (Spanish)
topic Pairs trading
Spread process
Cointegration
Distance method
Fixed income
Economía
Relaciones comerciales
Comercio exterior
Inflación y contabilidad
Cointegración
spellingShingle Pairs trading
Spread process
Cointegration
Distance method
Fixed income
Economía
Relaciones comerciales
Comercio exterior
Inflación y contabilidad
Cointegración
Fajardo Rodriguez, Sandra Milena
Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds
description 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.
author2 Castro, Carlos
author_facet Castro, Carlos
Fajardo Rodriguez, Sandra Milena
format Tesis de maestría (Master Thesis)
author Fajardo Rodriguez, Sandra Milena
author_sort Fajardo Rodriguez, Sandra Milena
title Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds
title_short Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds
title_full Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds
title_fullStr Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds
title_full_unstemmed Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds
title_sort implementation and evaluation of the strategy pairs trading for colombian public debt bonds
publisher Universidad del Rosario
publishDate 2017
url http://repository.urosario.edu.co/handle/10336/13700
_version_ 1645141745460051968
score 11,365685