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Acceso Abierto
Implementation and evaluation of the strategy Pairs Trading for Colombian public debt bonds
Título de la revista
Autores
Fajardo Rodriguez, Sandra Milena
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Fecha
2017-07-24
Directores
Castro, Carlos
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Editor
Universidad del Rosario
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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