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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Formato: | Tesis de maestría (Master Thesis) |
Lenguaje: | Español (Spanish) |
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Universidad del Rosario
2017
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Acceso en línea: | http://repository.urosario.edu.co/handle/10336/13700 |
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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 |
12,131701 |