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Predicción del mercado de TES en el corto plazo

Author

Listed:
  • Erick Translateur

Abstract

En el presente trabajo se estudia la hipótesis de caminata aleatoria para el mercado colombiano de bonos gubernamentales (TES). En el estudio se encuentra que es posible predecir el precio en el corto plazo, por lo que se rechaza la hipótesis de caminata aleatoria para dicho mercado. Lo anterior se concluye por medio de un algoritmo de trading intradía, basado en modelos de aprendizaje de máquinas, al cual se le realiza un Backtest y se concluye que los retornos esperados son superiores a los costos de transacción. A su vez, se realiza un Backtest del algoritmo sobre el mercado norteamericano y se observa que en dicho mercado los retornos esperados son significativamente menores. Es de resaltar que adicional a las implicaciones académicas, el algoritmo tiene aplicaciones empíricas ya que puede ser utilizado como una estrategia de inversión.

Suggested Citation

  • Erick Translateur, 2018. "Predicción del mercado de TES en el corto plazo," Documentos de Trabajo 16556, Quantil.
    • Handle: RePEc:col:000508:016556
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    More about this item

    Keywords

    Eficiencia de MercadosTES; Algoritmo de TradingMinería de Datos;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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