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Showing 1 to 2 of 2 for “"Pair-Trading"”.
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Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.
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 …
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Three Essays Applying Dynamic Models in Economics, Finance, and Machine Learning
<p>This dissertation is a composition in three parts. Collectively, these essays investigate dynamic methods and their application in the fields of Economics, Finance, and Machine Learning. It pulls liberally from all three. In particular, this dissertation makes repeated use of multi-state …