{"id":105793,"date":"2018-03-11T10:29:28","date_gmt":"2018-03-11T10:29:28","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/statistical-arbitrage-and-algorithmic-trading-overview-and-applications\/"},"modified":"2018-03-11T10:29:28","modified_gmt":"2018-03-11T10:29:28","slug":"statistical-arbitrage-and-algorithmic-trading-overview-and-applications","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/teoria-de-la-inversion\/statistical-arbitrage-and-algorithmic-trading-overview-and-applications\/","title":{"rendered":"Statistical arbitrage and algorithmic trading: overview and applications"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Miquel Noguer Alonso <\/strong><\/h2>\n<p>En esta tesis doctoral se presentan los enfoques m\u00e1s interesantes en el excitante mundo de la inversi\u00f3n cuantitativa o trading algor\u00edtmico, introduciendo nuevos conceptos te\u00f3ricos y aplicaciones para obtener rendimientos ajustados al riesgo superiores. Se cubren dos campos muy importantes en la inversi\u00f3n cuantitativa: el arbitraje estad\u00edstico y el trading algor\u00edtmico los temas cubiertos son reversi\u00f3n a la media, momentum, cambios de reg\u00edmenes y modelos factoriales. Se presenta la prueba anal\u00edtica de la reversi\u00f3n a la media si se cumplen una serie de condiciones en las series temporales; este teorema puede extenderse a algunos de los procesos estoc\u00e1sticos m\u00e1s utilizados.  se analizan y estudian los principales modelos estoc\u00e1sticos, los sistemas din\u00e1micos no lineales, incluyendo los casos aparentemente simples, que pueden presentar un comportamiento ca\u00f3tico para la modelizaci\u00f3n de series temporales financieras, el an\u00e1lisis t\u00e9cnico y el aprendizaje autom\u00e1tico (machine learning). En la tesis se presentan las siguientes aplicaciones: \u00bb\tmomentum y value en us \u00bb\tmomentum en un contexto multi asset class \u00bb\tcomparativa seis clases de modelos de series temporales \u00bb\tmodelo de aprendizaje autom\u00e1tico :  o\talgoritmos gen\u00e9ticos y redes neuronales usando indicadores t\u00e9cnicos o\tm\u00e1quinas de soporte vectorial \u00bb\tmodelos no lineales: teorema de takens, aplicaci\u00f3n de varma\/var en forma reducida \u00bb\tmodelos de trading algor\u00edtmico asim\u00e9trico en el cap\u00edtulo final se introduce la teor\u00eda integrada de sistemas de trading algor\u00edtmicos: una metodolog\u00eda sistem\u00e1tica y un marco para invertir en una clase de activos l\u00edquidos de realizar una serie de pruebas y utilizando las t\u00e9cnicas m\u00e1s adecuadas y una combinaci\u00f3n de estos en una cartera de estrategias sistem\u00e1ticas. Se presentan dos aplicaciones exitosas de la teor\u00eda, una con el oro iatst con un sharpe ratio de 1.2, y otra en un contexto multi-asset multi-estrategia multi strategy iatst, que obtiene resultados excelentes con un sharpe ratio hist\u00f3rico de m\u00e1s de 3.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Statistical arbitrage and algorithmic trading: overview and applications<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Statistical arbitrage and algorithmic trading: overview and applications <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Miquel Noguer Alonso <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Nacional de educaci\u00f3n a distancia<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 16\/12\/2010<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Andr\u00e9s Pacheco Pag\u00e9s<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: alejandro Balbas de la corte <\/li>\n<li>Alberto augusto \u00e1lvarez l\u00f3pez (vocal)<\/li>\n<li>Jos\u00e9 Antonio Ordaz sanz (vocal)<\/li>\n<li>christian Mazza (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Miquel Noguer Alonso En esta tesis doctoral se presentan los enfoques m\u00e1s interesantes en el excitante mundo [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center 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