2026-09-26T00:55:35Zhttps://repositorio.fgv.br/server/oai/requestoai:repositorio.fgv.br:10438/116052024-02-22T19:15:43Zcom_10438_7823col_10438_11122
Silva, Moacyr Alvim Horta Barbosa da
Teixeira, Ariel Amadeu Edwards
Escolas::EMAp
Gonçalves, Edson Daniel Lopes
Camargo, Sabrina
Azevedo, Rafael Moura
2014-04-09T14:58:29Z
2014-04-09T14:58:29Z
2014-02-17
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.
https://hdl.handle.net/10438/11605
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.
eng
Cointegration
Ornstein-Uhlenbeck equation
Kelly criterion
Matemática
Cointegração
Operações com pares (Finanças)
Ações (Finanças)
Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
Dissertation
openAccess
open.access