Price discovery using a regime-sensitive cointegration approach

Detalhes bibliográficos
Ano de defesa: 2015
Autor(a) principal: Hinterholz, Eduardo Mathias
Orientador(a): Pereira, Pedro L. Valls
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 Inglês:
High frequency
Gibbs sampling
Cointegration
Non-linearity
Markov switching
Link de acesso: http://hdl.handle.net/10438/13970
Resumo: This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in 'pairs trading' and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of 'information share' (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.
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spelling Hinterholz, Eduardo MathiasEscolas::EESPFernandes, MarceloHotta, Luiz KoodiPereira, Pedro L. Valls2015-08-27T13:12:19Z2015-08-27T13:12:19Z2015HINTERHOLZ, Eduardo Mathias. Price discovery using a regime-sensitive cointegration approach. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.http://hdl.handle.net/10438/13970This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in 'pairs trading' and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of 'information share' (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.Este trabalho propõe um método para examinar variações na relação cointegração de preços de ações preferenciais e ordinárias da bolsa brasileira através de mudanças de regime no sentido de Markov. Este modelo tem como objetivo contribuir tanto para futuros trabalhos em negociações de pares ('pairs trading') quanto, principalmente, para aplicação em descoberta de preços visto que, condicional nos estados, é pressuposta estacionariedade no sistema. Desta maneira seria possível a extração de medidas de 'parcela de informação' (IS) baseadas na representação de médias móveis de um modelo de correção de erros Markoviano, estimado através de um ferramental bayesiano do tipo MCMC por questões de identificação. A validade do modelo no sentido de capturar as variações de regime é demonstrada através de experimento de Montecarlo, bem como é evidenciada a necessidade da modelar não normalidades na distribuição dos dados de alta frequência visando inferência.engHigh frequencyGibbs samplingCointegrationNon-linearityMarkov switchingEconomiaTeorias não-linearesMarkov, Processos deEconometriaPrice discovery using a regime-sensitive cointegration approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDissertaçãoFinal.pdfDissertaçãoFinal.pdfapplication/pdf1431279https://repositorio.fgv.br/bitstreams/7d594dda-e7ca-4077-854f-142c7d02c005/downloaddea2c0cdc148ed945cdfc8b33e86f668MD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Price discovery using a regime-sensitive cointegration approach
title Price discovery using a regime-sensitive cointegration approach
spellingShingle Price discovery using a regime-sensitive cointegration approach
Hinterholz, Eduardo Mathias
High frequency
Gibbs sampling
Cointegration
Non-linearity
Markov switching
Economia
Teorias não-lineares
Markov, Processos de
Econometria
title_short Price discovery using a regime-sensitive cointegration approach
title_full Price discovery using a regime-sensitive cointegration approach
title_fullStr Price discovery using a regime-sensitive cointegration approach
title_full_unstemmed Price discovery using a regime-sensitive cointegration approach
title_sort Price discovery using a regime-sensitive cointegration approach
author Hinterholz, Eduardo Mathias
author_facet Hinterholz, Eduardo Mathias
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Fernandes, Marcelo
Hotta, Luiz Koodi
dc.contributor.author.fl_str_mv Hinterholz, Eduardo Mathias
dc.contributor.advisor1.fl_str_mv Pereira, Pedro L. Valls
contributor_str_mv Pereira, Pedro L. Valls
dc.subject.eng.fl_str_mv High frequency
Gibbs sampling
Cointegration
Non-linearity
Markov switching
topic High frequency
Gibbs sampling
Cointegration
Non-linearity
Markov switching
Economia
Teorias não-lineares
Markov, Processos de
Econometria
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Teorias não-lineares
Markov, Processos de
Econometria
description This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in 'pairs trading' and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of 'information share' (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.
publishDate 2015
dc.date.accessioned.fl_str_mv 2015-08-27T13:12:19Z
dc.date.available.fl_str_mv 2015-08-27T13:12:19Z
dc.date.issued.fl_str_mv 2015
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 HINTERHOLZ, Eduardo Mathias. Price discovery using a regime-sensitive cointegration approach. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/13970
identifier_str_mv HINTERHOLZ, Eduardo Mathias. Price discovery using a regime-sensitive cointegration approach. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.
url http://hdl.handle.net/10438/13970
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)
instname:Fundação Getulio Vargas (FGV)
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instacron_str FGV
institution FGV
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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