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- Title
Arbitragem Estatística: Uma Abordagem por VECM.
- Authors
Andrea Soto, Paula; Ruilova Teran, Juan Carlos
- Abstract
This work develops a statistical arbitrage model which was tested on the Brazilian stock market. Prices were modeled using VECM (Vector Error Correction Models) to create a self-financing, market-neutral, long/short trading strategy. In this strategy, deviations in the long-term equilibrium of prices are identified in order to create buy and sell signals. Portfolios with common trends were selected by means of Principal Component Analysis. The viability of this strategy was empirically addressed using simulations on these portfolios. Its performance was also compared to other long/short trading strategies and were all analyzed in terms of returns, volatility and statistical arbitrage opportunities. The methodology used in this paper shows good results for modeling prices, and though all trading strategies offer considerable gains for the investor, the proposed strategy stands out by presenting statistical arbitrage.
- Subjects
PAIRS trading; STOCK exchanges; COINTEGRATION; INVESTORS; ADVERTISING portfolios
- Publication
Brazilian Review of Finance / Revista Brasileira de Finanças, 2017, Vol 15, Issue 4, p537
- ISSN
1679-0731
- Publication type
Article