Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Detalhes bibliográficos
Ano de defesa: 2014
Autor(a) principal: Teixeira, Ariel Amadeu Edwards
Orientador(a): Silva, Moacyr Alvim Horta Barbosa da
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Link de acesso: https://hdl.handle.net/10438/11605
Resumo: 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.
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spelling Teixeira, Ariel Amadeu EdwardsEscolas::EMApGonçalves, Edson Daniel LopesCamargo, SabrinaAzevedo, Rafael MouraSilva, Moacyr Alvim Horta Barbosa da2014-04-09T14:58:29Z2014-04-09T14:58:29Z2014-02-17TEIXEIRA, Ariel Amadeu Edwards. Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014.https://hdl.handle.net/10438/11605Pair 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.engCointegrationOrnstein-Uhlenbeck equationKelly criterionMatemáticaCointegraçãoOperações com pares (Finanças)Ações (Finanças)Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPair trading in Bovespa with a quantitative approach cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.pdfPair trading in Bovespa with a quantitative approach cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.pdfapplication/pdf857529https://repositorio.fgv.br/bitstreams/a21d5bfa-027e-4988-9502-37492a8fa32b/downloadd324d9458357fb950c816b5a8bfd11d2MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.por.fl_str_mv Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
title Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
spellingShingle Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
Teixeira, Ariel Amadeu Edwards
Cointegration
Ornstein-Uhlenbeck equation
Kelly criterion
Matemática
Cointegração
Operações com pares (Finanças)
Ações (Finanças)
title_short Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
title_full Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
title_fullStr Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
title_full_unstemmed Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
title_sort Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
author Teixeira, Ariel Amadeu Edwards
author_facet Teixeira, Ariel Amadeu Edwards
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EMAp
dc.contributor.member.none.fl_str_mv Gonçalves, Edson Daniel Lopes
Camargo, Sabrina
Azevedo, Rafael Moura
dc.contributor.author.fl_str_mv Teixeira, Ariel Amadeu Edwards
dc.contributor.advisor1.fl_str_mv Silva, Moacyr Alvim Horta Barbosa da
contributor_str_mv Silva, Moacyr Alvim Horta Barbosa da
dc.subject.por.fl_str_mv Cointegration
Ornstein-Uhlenbeck equation
Kelly criterion
topic Cointegration
Ornstein-Uhlenbeck equation
Kelly criterion
Matemática
Cointegração
Operações com pares (Finanças)
Ações (Finanças)
dc.subject.area.por.fl_str_mv Matemática
dc.subject.bibliodata.por.fl_str_mv Cointegração
Operações com pares (Finanças)
Ações (Finanças)
description 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.
publishDate 2014
dc.date.accessioned.fl_str_mv 2014-04-09T14:58:29Z
dc.date.available.fl_str_mv 2014-04-09T14:58:29Z
dc.date.issued.fl_str_mv 2014-02-17
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv TEIXEIRA, Ariel Amadeu Edwards. Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/11605
identifier_str_mv TEIXEIRA, Ariel Amadeu Edwards. Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.. Dissertação (Mestrado em Matemática Aplicada) - Escola de Matemática Aplicada, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014.
url https://hdl.handle.net/10438/11605
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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