Implementar e otimizar uma estratégia Market-Neutral (Arbitragem Estatística) na B3, utilizando validação econométrica rigorosa e backtesting vetorial em larga escala. O projeto investiga a ...
The Strategy: "The Crude vs. The Suits" Why this pair? The price of raw crude oil (USO) and the stock prices of the companies that drill, refine, and sell it (XLE) are fundamentally linked. When oil ...
In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, "Econometric Theory" 22, 15-68) and ...
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