Ítem
Acceso Abierto

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


Archivos
Fecha
2017-07-24

Directores
Castro, Carlos

ISSN de la revista
Título del volumen
Editor
Universidad del Rosario

Buscar en:

Métricas alternativas

Resumen
Abstract
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.
Palabras clave
Pairs trading , Spread process , Cointegration , Distance method , Fixed income
Keywords
Buscar en:
Enlace a la fuente