Pairs-trading strategies applied to the Brazilian stock market

• Grant number: 23/05214-0
• Support Opportunities: Scholarships in Brazil - Scientific Initiation
• Start date: July 01, 2023
• End date: June 30, 2024
• Field of knowledge: Applied Social Sciences - Economics - Quantitative Methods Applied to Economics
• Principal Investigator: Carlos Cesar Trucios Maza
• Grantee: Luis Felipe Andrade Ribeiro de Oliveira
• Host Institution: Instituto de Matemática, Estatística e Computação Científica (IMECC). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil

Abstract

Pairs-trading strategies combine long positions with short positions of two financial assets. Despite being a concept from the mid-1980s and there are several pairs-trading strategies proposed in the literature, only few of them are widely known and applied by practitioners. Thus, aiming to know and apply different pair-trading strategies, contribute to the formation of human resources that can develop inside and outside academia, as well as to open new posibilities for the development of new pair-trading strategies, this scientific initiation project seeks explore the various pair-trading strategies proposed in the literature, point out their similarities and differences, as well as apply them to the Brazilian stock market. All computational implementation will be freely available in a repository on GitHub.