PAIRS TRADING APLICADO AO MERCADO DE CAPITAIS BRASILEIRO: UMA ABORDAGEM VIA COINTEGRAÇÃO E ORNSTEIN-UHLENBECK

Lucas Stumpf Venturini, Gustavo Inácio de Moraes

Resumo


Este estudo é realizado explorando o fato de que a arbitragem estatística como estratégia de trade obteve grandes avanços na sua metodologia nos últimos 35 anos acompanhando a evolução econométrica. Como consequência, aplicou-se a estratégia de pairs trading por cointegração com um filtro de meia-vida, calculado via equação de Ornstein-Uhlenbeck, e através de diferentes testes de raíz unitária no mercado brasileiro de capitais com o objetivo de verificar se a metodologia apresenta lucratividade. Apesar de haver perdas em alguns pares de ações, verificou-se que a estratégia apresenta lucratividade.


Palavras-chave


Mercado de Capitais, Pairs trading, Cointegração, Método de Ornstein-Uhlenbeck, Ibovespa

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DOI: https://doi.org/10.13059/racef.v15i1.1083

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