Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos.
Autor(a) principal: | |
---|---|
Data de Publicação: | 2020 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional Manancial UFSM |
Texto Completo: | http://repositorio.ufsm.br/handle/1/23415 |
Resumo: | This study applies quantitative methods in statistical arbitrage operations applied in the financial market. The kind of operations involved in this study are pair trading long and short. This method of arbitration is traditionally used in investment funds, it allows for they more control of operational risk. The results found used data from real accounts. The markets were for derivatives of foreign currency pairs and markets for dollar futures and indexes on the Brazilian stock exchange. The study used some quantitative indicators as filters for statistical arbitrage operations. The use of indicators aimed at mitigating financial operating losses. The resulting operational strategy was automated and tested in a cloud computing environment and on ordinary computers. During the tests, failures that resulted in financial losses were monitored and cataloged. For example, originated from failures in connection with the broker provider and client plataform, abrupt reboots and or freezes of the operational system, and others. All failures have been compared to the results obtained. The results of the tests with the autonomous implementation in real accounts, were relevant, although lower in terms of earned profits, compared to those carried out manually. The products developed are a depth scanner applied in large-scale mapping and an autonomous robot to operate the strategy resulting from process mapping. The proposed work aims to motivate research and guide the construction of new methods of developing financial finance for use in the cloud environment. |
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2021-12-27T14:13:29Z2021-12-27T14:13:29Z2020-08-13http://repositorio.ufsm.br/handle/1/23415This study applies quantitative methods in statistical arbitrage operations applied in the financial market. The kind of operations involved in this study are pair trading long and short. This method of arbitration is traditionally used in investment funds, it allows for they more control of operational risk. The results found used data from real accounts. The markets were for derivatives of foreign currency pairs and markets for dollar futures and indexes on the Brazilian stock exchange. The study used some quantitative indicators as filters for statistical arbitrage operations. The use of indicators aimed at mitigating financial operating losses. The resulting operational strategy was automated and tested in a cloud computing environment and on ordinary computers. During the tests, failures that resulted in financial losses were monitored and cataloged. For example, originated from failures in connection with the broker provider and client plataform, abrupt reboots and or freezes of the operational system, and others. All failures have been compared to the results obtained. The results of the tests with the autonomous implementation in real accounts, were relevant, although lower in terms of earned profits, compared to those carried out manually. The products developed are a depth scanner applied in large-scale mapping and an autonomous robot to operate the strategy resulting from process mapping. The proposed work aims to motivate research and guide the construction of new methods of developing financial finance for use in the cloud environment.Este estudo emprega métodos quantitativos em operações de arbitragem estatística no mercado financeiro. As operações abrangidas são de arbitragem estatística do tipo Pair Trading - Long and Short. Este tipo de arbitragem é tradicionalmente empregada em fundos de investimentos, pois possibilita maior controle de risco operacional. Os resultados encontrados utilizaram dados oriundos de contas de negociações reais. Os mercados analisados foram de derivativos de pares de moedas estrangeiras e mercados de contratos futuros de dólar e índice na bolsa brasileira. O estudo valeu-se de alguns indicadores quantitativos como filtros para as operações de arbitragem estatística. O emprego dos indicadores visou mitigar as perdas operacionais financeiras. A estratégia operacional resultante foi automatizada e testada em ambiente de nuvem computacional e em computadores comuns. A automação da estratégia foi possível através do mapeamento dos processos envolvidos com a inserção dos filtros. Durante os testes foram monitoradas e catalogadas falhas que resultaram em perdas financeiras. Por exemplo, falhas provenientes de queda de conexão com o provedor de ordens, reinicializações abruptas e ou congelamentos do sistema operacional, dentre outras, também foram estudadas e comparadas aos resultados obtidos. Os resultados dos testes com a implementação autônoma em contas reais, foram relevantes, embora inferiores em termos de lucros auferidos, em comparação aos efetuados manualmente. Os produtos desenvolvidos são um escâner de profundidade para mapeamento em larga escala e um robô autônomo para operar a estratégia resultante do mapeamento de processos. O trabalho proposto visa motivar pesquisas e orientar a construção de novos métodos de desenvolvimento de robôs financeiros para uso no ambiente de nuvem.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPESporUniversidade Federal de Santa MariaCentro de TecnologiaPrograma de Pós-Graduação em Engenharia de ProduçãoUFSMBrasilEngenharia de ProduçãoAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessLong and shortPair tradingQuantitative methodsRisk managementCointegrationCointegraçãoArbitragem estatísticaCNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAOElaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos.Design and implementation of processes based on quantitative methods to for decision making and risk management in the setting up of investment portfolios.info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisMüller, Felipe Martinshttp://lattes.cnpq.br/5941686828835081Araujo, Olinto C. B. deSiluk, Julio M.http://lattes.cnpq.br/0219656783180086Konrad, Cristiano30080000000560060060071f97871-5101-4fa8-b821-aa730e3775c40b867f39-386d-4565-9773-8e6ea137001709a7cab8-34b4-40a9-a473-4bb879da384e38f0b0a2-447a-421c-8926-5bd15d7ce7c4reponame:Repositório Institucional Manancial UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSMORIGINALDIS_PPGEP_2020_KONRAD_CRISTIANO.PDFDIS_PPGEP_2020_KONRAD_CRISTIANO.PDFDissertação de Mestradoapplication/pdf3734054http://repositorio.ufsm.br/bitstream/1/23415/1/DIS_PPGEP_2020_KONRAD_CRISTIANO.PDFb1758441308002fd7e6b4fde68c9f728MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8805http://repositorio.ufsm.br/bitstream/1/23415/2/license_rdf4460e5956bc1d1639be9ae6146a50347MD52LICENSElicense.txtlicense.txttext/plain; charset=utf-81956http://repositorio.ufsm.br/bitstream/1/23415/3/license.txt2f0571ecee68693bd5cd3f17c1e075dfMD53TEXTDIS_PPGEP_2020_KONRAD_CRISTIANO.PDF.txtDIS_PPGEP_2020_KONRAD_CRISTIANO.PDF.txtExtracted texttext/plain195872http://repositorio.ufsm.br/bitstream/1/23415/4/DIS_PPGEP_2020_KONRAD_CRISTIANO.PDF.txtf530fca653b0ee536897fe08791353b0MD54THUMBNAILDIS_PPGEP_2020_KONRAD_CRISTIANO.PDF.jpgDIS_PPGEP_2020_KONRAD_CRISTIANO.PDF.jpgIM Thumbnailimage/jpeg2830http://repositorio.ufsm.br/bitstream/1/23415/5/DIS_PPGEP_2020_KONRAD_CRISTIANO.PDF.jpg72408d6e3aaf75fd56164db977603d7aMD551/234152021-12-29 15:41:33.602oai:repositorio.ufsm.br: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ório Institucionalhttp://repositorio.ufsm.br/PUBhttp://repositorio.ufsm.br/oai/requestouvidoria@ufsm.bropendoar:39132021-12-29T18:41:33Repositório Institucional Manancial UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.por.fl_str_mv |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. |
dc.title.alternative.eng.fl_str_mv |
Design and implementation of processes based on quantitative methods to for decision making and risk management in the setting up of investment portfolios. |
title |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. |
spellingShingle |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. Konrad, Cristiano Long and short Pair trading Quantitative methods Risk management Cointegration Cointegração Arbitragem estatística CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO |
title_short |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. |
title_full |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. |
title_fullStr |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. |
title_full_unstemmed |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. |
title_sort |
Elaboração e implementação de processos com base em métodos quantitativos, para auxiliar na tomada de decisão e gerenciamento de risco na montagem de carteiras de investimentos. |
author |
Konrad, Cristiano |
author_facet |
Konrad, Cristiano |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Müller, Felipe Martins |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/5941686828835081 |
dc.contributor.referee1.fl_str_mv |
Araujo, Olinto C. B. de |
dc.contributor.referee2.fl_str_mv |
Siluk, Julio M. |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/0219656783180086 |
dc.contributor.author.fl_str_mv |
Konrad, Cristiano |
contributor_str_mv |
Müller, Felipe Martins Araujo, Olinto C. B. de Siluk, Julio M. |
dc.subject.eng.fl_str_mv |
Long and short Pair trading Quantitative methods Risk management Cointegration |
topic |
Long and short Pair trading Quantitative methods Risk management Cointegration Cointegração Arbitragem estatística CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO |
dc.subject.por.fl_str_mv |
Cointegração Arbitragem estatística |
dc.subject.cnpq.fl_str_mv |
CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO |
description |
This study applies quantitative methods in statistical arbitrage operations applied in the financial market. The kind of operations involved in this study are pair trading long and short. This method of arbitration is traditionally used in investment funds, it allows for they more control of operational risk. The results found used data from real accounts. The markets were for derivatives of foreign currency pairs and markets for dollar futures and indexes on the Brazilian stock exchange. The study used some quantitative indicators as filters for statistical arbitrage operations. The use of indicators aimed at mitigating financial operating losses. The resulting operational strategy was automated and tested in a cloud computing environment and on ordinary computers. During the tests, failures that resulted in financial losses were monitored and cataloged. For example, originated from failures in connection with the broker provider and client plataform, abrupt reboots and or freezes of the operational system, and others. All failures have been compared to the results obtained. The results of the tests with the autonomous implementation in real accounts, were relevant, although lower in terms of earned profits, compared to those carried out manually. The products developed are a depth scanner applied in large-scale mapping and an autonomous robot to operate the strategy resulting from process mapping. The proposed work aims to motivate research and guide the construction of new methods of developing financial finance for use in the cloud environment. |
publishDate |
2020 |
dc.date.issued.fl_str_mv |
2020-08-13 |
dc.date.accessioned.fl_str_mv |
2021-12-27T14:13:29Z |
dc.date.available.fl_str_mv |
2021-12-27T14:13:29Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://repositorio.ufsm.br/handle/1/23415 |
url |
http://repositorio.ufsm.br/handle/1/23415 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.cnpq.fl_str_mv |
300800000005 |
dc.relation.confidence.fl_str_mv |
600 600 600 |
dc.relation.authority.fl_str_mv |
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dc.rights.driver.fl_str_mv |
Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Centro de Tecnologia |
dc.publisher.program.fl_str_mv |
Programa de Pós-Graduação em Engenharia de Produção |
dc.publisher.initials.fl_str_mv |
UFSM |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
Engenharia de Produção |
publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Centro de Tecnologia |
dc.source.none.fl_str_mv |
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