Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/1500
Type: Dissertação
Title: Dispersion Trading
Authors: Moreno, Marcio
Examination board: Bonomo, Marco Antonio Cesar
Advisor: Barbosa, Gustavo Soares
Publication Date: 2015
Keywords in original language : Dispersion Trading
Correlation
Volatility
Brazilian Options Market
Abstract: The main goal of this thesis is to study the dispersion trading strategy applied for the Brazilian options equity market. Some studies for developed markets show that implied correlation tends to be priced higher than the realized correlation. In order to verify and capture this di erence, dispersion trading strategy can be used to trade index volatility versus the volatility of its components. Brazilian options market does not present enough liquidity to trade stock options in all index components. Given that, an index tracking approach is presented to create an index proxy that tries to replicate the index return with a small subset of components. This thesis explores multi-period strategies and di erent compositions for the index proxy portfolio in order to verify if the strategy is consistent. The results provide strong evidence that dispersion trading is feasible to be im- plemented, being pro table even with positive transaction costs.
Language: Inglês
Appears in Collections:Mestrado Profissional em Economia

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