{"id":{"repo_id":"brazil-fgv","oai_identifier":"oai:repositorio.fgv.br:10438/11605"},"canonical_url":"https://search.dev.ndltd.org/etd/brazil-fgv/oai:repositorio.fgv.br:10438/11605","repository":{"repo_id":"brazil-fgv","name":"Brazil FGV","base_url":"https://repositorio.fgv.br/server/oai/request"},"display":{"title":"Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Teixeira, Ariel Amadeu Edwards"],"institution":null,"degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Silva, Moacyr Alvim Horta Barbosa da"],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014-02-17","date_published":"2014-02-17","updated_at":"2026-07-27T18:59:45Z","subjects":["Cointegration","Ornstein-Uhlenbeck equation","Kelly criterion"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://hdl.handle.net/10438/11605","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Silva, Moacyr Alvim Horta Barbosa da"]},{"key":"dc:creator","label":"Author","values":["Teixeira, Ariel Amadeu Edwards"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-04-09T14:58:29Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-04-09T14:58:29Z"]},{"key":"dc:date.issued","label":"Date","values":["2014-02-17"]},{"key":"dc:type","label":"Dc Type","values":["Dissertation"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Cointegration","Ornstein-Uhlenbeck equation","Kelly criterion"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["https://hdl.handle.net/10438/11605"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:title","label":"Title","values":["Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion."]}]}],"canonical_facts":{"dc:contributor.advisor":["Silva, Moacyr Alvim Horta Barbosa da"],"dc:creator":["Teixeira, Ariel Amadeu Edwards"],"dc:date.accessioned":["2014-04-09T14:58:29Z"],"dc:date.available":["2014-04-09T14:58:29Z"],"dc:date.issued":["2014-02-17"],"dc:description.abstract":["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."],"dc:identifier.uri":["https://hdl.handle.net/10438/11605"],"dc:language.iso":["eng"],"dc:subject":["Cointegration","Ornstein-Uhlenbeck equation","Kelly criterion"],"dc:title":["Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion."],"dc:type":["Dissertation"]},"updated_at":"2026-07-27T18:59:45Z"}