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dc.contributor.authorRamos Requena, José Pedro
dc.contributor.authorTrinidad Segovia, Juan Evangelista
dc.contributor.authorSánchez Granero, Miguel Ángel
dc.date.accessioned2020-03-17T11:58:32Z
dc.date.available2020-03-17T11:58:32Z
dc.date.issued2020-03-05
dc.identifier.issn2227-7390
dc.identifier.urihttp://hdl.handle.net/10835/7853
dc.description.abstractThe main goal of the paper is to introduce different models to calculate the amount of money that must be allocated to each stock in a statistical arbitrage technique known as pairs trading. The traditional allocation strategy is based on an equal weight methodology. However, we will show how, with an optimal allocation, the performance of pairs trading increases significantly. Four methodologies are proposed to set up the optimal allocation. These methodologies are based on distance, correlation, cointegration and Hurst exponent (mean reversion). It is showed that the new methodologies provide an improvement in the obtained results with respect to an equal weighted strategy.es_ES
dc.language.isoenes_ES
dc.publisherMDPIes_ES
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectpairs tradinges_ES
dc.subjecthurst exponentes_ES
dc.subjectfinancial marketses_ES
dc.subjectlong memoryes_ES
dc.subjectco-movementes_ES
dc.subjectcointegrationes_ES
dc.titleSome Notes on the Formation of a Pair in Pairs Tradinges_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherversionhttps://www.mdpi.com/2227-7390/8/3/348es_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses_ES


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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional