Funcionamiento
Bombastic es el resultado de un largo estudio de correlación y cointegración entre diferentes cruces de divisas europeas.
Utiliza técnicas de arbitraje estadístico, muy habituales a nivel institucional y de probada eficacia.
Análisis empíricos, objetivos reales.
Introduce aquí el subtítular
Wikipedia:
As a trading strategy, statistical arbitrage is a heavily quantitative and computational approach to equity trading. It involves data mining and statistical methods, as well as automated trading systems.
Historically, StatArb evolved out of the simpler pairs trade strategy, in which stocks are put into pairs by fundamental or market-based similarities. When one stock in a pair outperforms the other, the poorer performing stock is bought long with the expectation that it will climb towards its outperforming partner, the other is sold short. Mathematically speaking, the strategy is to find a pair of stocks with high cointegration (only high correlation is not enough). The time series of the two stocks must be non-stationary (Kalman filter can be used as for the test). This hedges risk from whole-market movements. Various statistical tools have been used in the context of pairs trading ranging from simple distance-based approaches to more complex tools such as cointegration and copula concepts.
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