Pairs trading, cómo gestionar una anomalía del mercado

M.ª Luisa Mazo Fajardo, M.ª Esther Vaquero Lafuente

Resumen


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).

Palabras clave


Pairs trading; distancia; cointegración; rentabilidad

Texto completo:

 Sólo suscriptores

Referencias


Al-Naymat, G. (2013). Mining Pairs-Trading Patterns: A Framework. International Journal of Database Theory and Application, 6 (6), 19-28.

Andrade, S. C., di Pietro, V., y Seasholes, M. S. (2005). Understanding the Profitability of Pairs Trading. Manuscrito no publicado, UC Berkeley, Universidad de Northwestern.

Asness, C. S., Moskowitz, T. J., y Pedersen, L. H. (2013). Value and Momentum Everywhere. The Journal of Finance, 68 (3), 929-985.

Augustine, C. (2014). Pairs Trading: a Copula Approach. Trabajo de Fin de Máster. Universidad de Ciudad del Cabo, Departamento de Ciencias Actuariales.

Avellaneda, M., y Lee, J. H. (2010). Statistical Arbitrage in the US Equities Market. Quantitative Finance, 10 (7), 761-782.

Balvers, R. J., y Wu, Y. (2006). Momentum and Mean Reversion across National Equity Markets. Journal of Empirical Finance, 13 (1), 24-48.

Baronyan, S. R., Bodoruglu, I. I., y Sener, E. (2010). Investigation of Stochastic Pairs Trading Strategies under Different Volatility Regimes. The Manchester School, 78 (1), 114-134.

Bernstein, P. L. (2007). Capital Ideas Evolving. Hoboken, New Jersey, EE. UU.: John Wiley & Sons, Inc.

Bowen, D. A., y Hutchinson, M. C. (2014). Pairs trading in the UK equity market: risk and return. The European Journal of Finance, 22 (14), 1-25.

Bowen, D., Hutchinson, M. C., & O'Sullivan, N. (2010). High frequency equity pairs trading: transaction costs, speed of execution and patterns in returns. Journal of Trading, 5 (3), 31-38.

Broel-Plater, J., y Nisar, K. (2010). A Wider Perspective on Pairs Trading. A Trading Application with Non-Equity Assets. Tesis de Master, Lund University, Departamento de Económicas.

Burgess, A. N. (1999). Statistical arbitrage models of the FTSE 100. Computational Finance, 99, 297-312.

Burton, E. T., y Shah, S. N. (2013). Behavioral Finance: Understanding the Social, Cognitive and Economic Debates. Hoboken, New Jersey: John Wiley & Sons, Inc.

Caldeira, J. F., y Moura, G. V. (Marzo de 2013). Selection of a Portfolio of Pairs Based on Cointegration: The Brazilian Case. Revista Brasileña de Finanzas, 11 (5), 48-80.

Chen, H., y Zhu, Y. (2015). An empirical study on the threshold cointegration of Chinese A and H cross-listed shares. Journal of Applied Statistics, 42, 2406-2419.

Chiu, M. C., y Wong, H. Y. (2015). Dynamic cointegrated pairs trading: mean-variance time-consistent strategies. Journal of Computational and Applied Mathematics, 290, 516-534.

Chng, M. (2009). There is Something about Pairs Trading. Corporate Finance Review, 13 (5), 27-35.

Chung, K. H., y Jo, H. (1996). The impact of security analysts' monitoring and marketing functions on the market value of firms. Journal of Financial and Quantitative analysis, 31 (4), 493-512.

Cui, L., Huang, K., y Cai, H. J. (2015). Application of a TGARCH-Wavelet Neural Network to Arbitrage Trading in the Metal Futures Market in China. Quantitative Finance, 15 (2), 371-384.

Do, B., y Faff, R. (2010). Does Simple Pairs Trading Still Work? Financial Analysts Journal, 66 (4), 83-95.

Do, B., y Faff, R. (2012). Are Trading Profits Robust to Trading Costs? Journal of Financial Research, 35 (2), 261-287.

Do, B., Faff, R., y Hamza, K. (2006). A New Approach to Modeling and Estimation for Pairs Trading. Proceedings of 2006 Financial Management Association European Conference.

Ehrman, D. S. (2006). The Handbook of Pairs Trading. Strategies Using Equities, Options, and Futures. Hoboken, New Jersey: John Wiley & Sons, Inc.

Elliot, R. J., Van Der Hoek, J., y Malcolm, W. P. (2005). Pairs Trading. Quantitative Finance, 5 (3), 271-276.

Fama, E. F. (1965). The Behaviour of Stock Market Prices. The Journal of Business, 38 (1), 34-105.

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25 (2), 383-417.

Ferreira, L. (2008). New tools for spread trading. Futures: News, Analysis & Strategies for Futures, Options & Derivatives Traders, 37 (12), 38-41.

Figuerola-Ferretti, I., Paraskevopoulos, I., y Tang, T. (2014). Pairs Trading and Relative Liquidity in the European Stock Market. 22 Finance Forum, Zaragoza, España.

Galenko, A., Popova, E., y Popova, I. (2012). Trading in the Presence of Cointegration. The Journal of Alternative Investments, 15 (1), 85-97.

Gatev, E. G., Goetzmann, W. N., y Rouwenhorst, K. G. (1999). Pairs Trading: Performance of a Relative Value Arbitrage Rule. National Bureau of Economic Research.

Gatev, E. G., Goetzmann, W. N., y Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative Value Arbitrage Rule. Review of Financial Studies, 19 (3), 797-827.

Giannetti, A., y Viale, A. (2011). A Dynamic Analysis of Stock Price Ratios. Applied Financial Economics, 21 (6), 353-368.

Gomide, P., y Milidiú, R. L. (s.f.). Assessing stock market time series predictors quality through a pairs trading system. Eleventh Brazilian Symposium on Neural Networks (SBRN) (pp. 133-139). Sao Paulo: IEEE.

Gupta, S. (2015). Statistical Arbitrage: Profits through Pairs Trading. Journal of Business Management and Information Systems, 2 (1), 140-148.

Herlemont, D. (2004). Pairs Trading, Convergence Trading, Cointegration. YATS Finances & Technologies.

Hong, G., y Susmel, R. (2004). Pairs-Trading in the Asian ADR Market. Manuscrito no publicado, Universidad de Houston, EE. UU.

Huang, C. F., Hsu, C. J., Chen, C. C., Chang, B. R., y Li, C. A. (2015). An Intelligent Model for Pairs Trading Using Genetic Algorithms. Computational Intelligence and Neuroscience, 501.

Huck, N. (2009). Pairs Selection and Outranking: An Application to the S&P 100 Index. European Journal of Operational Research, 196 (2), 819-825.

Huck, N. (2010). Pairs Trading and Outranking: The Multi-Step-Ahead Forecasting Case. European Journal of Operational Research, 207 (3), 1702-1716.

Jacobs, B. I., y Levy, K. N. (2005). Market Neutral Strategies. Hoboken, New Jersey: John Wiley & Sons, Inc.

Jacobs, H. (2014). The Limits of the Market-Wide Limits of Arbitrage: Insights from the Dynamics of 100 Anomalies. Singapore: Singapore Management University.

Jacobs, H., y Weber, M. (2013). Losing Sight of the Trees for the Forest? Pairs Trading and Attention Shifts. Manuscrito no publicado, Universidad de Mannheim, Área de Finanzas.

Jacobs, H., y Weber, M. (2015). On the Determinants of Pairs Trading Profitability. Journal of Financial Markets, 23, 75-97.

Karvinen, M. (2012). Statistical Pairs Trading and Analyst Recommendations. Trabajo de fin de master, Aalto University, School of Economics, Departamento de Finanzas.

Kuo, K., Luu, P., Nguyen, D., Perkerson, E., Thompson, K., y Zhang, Q. (septiembre de 2015). Pairs trading: An optimal selling rule. Mathematical Control and Related Fields, 5 (3), 489-499.

Li, M. L., Chui, C. M., y Li, C. Q. (2014). Is pairs trading profitable on China AH-share markets? Applied Economics Letters, 21 (16), 1116-1121.

Liew, R., y Wu, Y. (2013). Pairs trading: A copula approach. Journal of Derivatives & Hedge Funds, 9 (1), 12-30.

Lin, Y. X., McCrae, M., y Gulati, C. (2006). Loss protection in pairs trading through minimum profit bounds: A cointegration approach. Advances in Decision Sciences, 2006.

Loodh, D., y Carlsson, D. (2015). An Empirical Assessment of Statistical Arbitrage: A Cointegrated Pairs Trading Approach. Uppsala University, Departamento de Estadística.

Madhavaram, G.R. (2013). Statistical Arbitrage using Pairs Trading with Support Vector Machine Learning. Trabajo fin de máster. Londres: Saint Mary's University.

Malkiel, B. G. (2005). Reflections on the Efficient Market Hypothesis: 30 years later. The Financial Review, 40, 1-9.

Mazo, M.L. (2016). La estrategia de pairs tradins: una propuesta para mejorar su rentabilidad. Tesis doctoral. Madrid: Universidad Pontificia Comillas.

Mudchanatongsuk, S., Primbs, J. A., y Wong, W. (2008). Optimal pairs trading: A stochastic control approach. American Control Conference, (pp. 1035-1039).

Muslumov, A., Yuksel, A., y Yuksel, S. A. (2009). The Profitability of Pairs Trading in an Emerging Market Setting: Evidence from the Istanbul Stock Exchange. Empirical Economics Letters, 8 (5), 1-6.

Nath, P. (2004). High Frequency Pairs Trading with US Treasury Securities: Risks and Rewards for Hedge Funds. SSRN Working Paper Series, London Business School.

Perlin, M. S. (2009). Evaluation of Pairs Trading Strategy at the Brazilian Financial Market. Journal of Derivatives & Hedge Funds, 15 (2), 122-136.

Puspaningrum, H. (2012). Pairs Trading Using Cointegration Approach. Doctor of Philosophy thesis. Wollongong: University of Wollongong, School of Mathematics and Applied Statistics.

Puspaningrum, H., Lin, Y. X., y Gulati, C. (2010). Finding the Optimal Pre-set Boundaries for Pairs Trading Strategy based on Cointegration Technique. Journal of Statistical Theory and Practice, 4 (3), 391-419.

Reiakvam, O. H., y Thyness, S. B. (2011). Pairs Trading in the Aluminum Market: A Cointegration Approach. Manuscrito no publicado.

Samuelson, P. A. (1965). Proof that Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review, 6 (2), 41-49.

Schmidt, A. D. (2008). Pairs Trading: A Cointegration Approach. Trabajo de fin de grado. Sídney: Universidad de Sídney.

Schwert, G. W. (2003). Anomalies and Market Efficiency. En Constantinides, G. M., Harris, M. y Stulz, R. M. (eds.), Handbook of the Economics of Finance (pp. 939-968). Ámsterdam: Elsevier B. V.

Smitten, R. (2005). Trade Like Jesse Livermore. Hoboken, New Jersey: John Wiley & Sons, Inc.

Song, Q., y Zhang, Q. (2013). An optimal pairs-trading rule. Automatica, 49 (10), 3007-3014.

Thomaidis, N. S., Kondakis, N., y Dounias, G. D. (2006). An intelligent statistical arbitrage trading system. Advances in Artificial Intelligence, 596-599.

Thorp, E. (2005). A Perspective on Quantitative Finance: Models for Beating the Market. En Wilmott, P., The Best of Wilmott 1: Incorporating the Quantitative Finance Review (pp. 33-38). Chichester, West Sussex, Reino Unido: John Wiley & Sons.

Tourin, A., y Yan, R. (Octubre de 2013). Dynamic Pairs Trading Using the Stochastic Control Approach. Journal of Economic Dynamics and Control, 37 (10), 1972-1981.

Vidyamurthy, G. (2004). Pairs Trading. Quantitative Methods and Analysys. Hoboken, New Jersey, EE.UU.: John Wiley & Sons, Inc.

Xie, W., y Wu, Y. (2013). Copula-Based Pairs Trading Strategy. Asian Finance Association (AsFA) Conference 2013.


Enlaces refback

  • No hay ningún enlace refback.


Licencia Creative Commons
Revista Icade (ISSN digital: 2341-0841) editada por Universidad Pontificia Comillas se encuentra bajo una Licencia Creative Commons Atribución-NoComercial-SinDerivadas 3.0 Unported

Revista Icade

Universidad Pontificia Comillas

Facultad de Derecho y Facultad de Ciencias Económicas y Empresariales

Alberto Aguilera, nº 23 - 28015, Madrid.

Tel. +34 91 54 22 800 | E-mail: revista-icade@comillas.edu