Pairs trading, cómo gestionar una anomalía del mercado
DOI:
https://doi.org/10.14422/icade.i105.y2018.003Palabras clave:
Pairs trading, distancia, cointegración, rentabilidadResumen
Este artículo profundiza en el marco teórico y empírico de la estrategia pairs trading. Dicha estrategia muestra que el mercado no es eficiente ya que se puede batir al mercado. En este artículo se hará una revisión del modelo teórico que conforma esta estrategia, para luego pasar a estudiar las dos principales técnicas que utiliza: método de la distancia y la cointegración. Por último, se hace una reflexión sobre qué fundamenta que se obtenga una rentabilidad superior a la del mercado, vinculándolo con las finanzas conductuales (behavioral finance).Citas
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