Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media

Las estrategias de inversión pairs trading se basan en desviaciones del precio entre pares de acciones correlacionadas y han sido ampliamente implementadas por fondos de inversión tomando posiciones largas y cortas en las acciones seleccionadas cuando surgen divergencias y obteniendo utilidad cerrando la posición al converger. Se describe un modelo de reversión a la media para analizar la dinámica que sigue el diferencial del precio entre acciones ordinarias y preferenciales de una misma empresa en el mismo mercado. La media de convergencia en el largo plazo es obtenida con un filtro de media móvil, posteriormente, los parámetros del modelo de reversión a la media se estiman mediante un filtro de Kalman bajo una formulación de estado espacio sobre las series históricas. Se realiza un backtesting a la estrategia de pairs trading algorítmico sobre el modelo propuesto indicando potenciales utilidades en mercados financieros que se observan por fuera del equilibrio. Aplicaciones de los resultados podrían mostrar oportunidades para mejorar el rendimiento de portafolios, corregir errores de valoración y sobrellevar mejor periodos de bajos retornos.

Conflict-induced poverty: Evidence from Colombia

En Colombia, la pobreza y el conflicto están estrechamente relacionados. Este estudio usa medidas de disuasión del gobierno como instrumentos de varias variables específicas de conflicto para estimar el impacto del conflicto sobre la pobreza en Colombia. Usando datos del censo a nivel municipal para el año 2005, evalúo el efecto sobre la incidencia urbana y rural del recientemente-desarrollado Índice de Pobreza Multidimensional. Los resultados sugieren que el conflicto aumenta significativamente la pobreza rural. Esto es consistente con el hecho que la mayor parte del conflicto en Colombia ocurre en las áreas rurales. También evalúo el efecto rezagado del conflicto en la pobreza para concluir que éste dura por al menos tres años pero que decae en el tiempo. Finalmente, pruebo que mis resultados son robustos a una batería de especificaciones adicionales, incluyendo una versión modificada de mi variable dependiente y el uso de una base alternativa de conflicto.

Conflict and child labor: evidence from poor households in Colombia

Colombia suffers from one of the longest civil conflicts in the world, which is believed to have had several consequences on the country’s economic and development performance. This study uses measures of central government deterrence effort as instruments of conflict to estimate the impact of conflict on children’s time allocation to two different types of work: housework and work performed outside the household for poor families living in small municipalities in Colombia. I find that conflict significantly increases the amount of time children allocate to work. Both housework, for girls, and work outside the household, for boys, increase with Guerrilla attacks. However, the later effect is the opposite for Paramilitary attacks.

Publicness of goods and violent conflict : evidence from Colombia

How the degree of publicness of goods affect violent conflict? Based on the theoretical model in Esteban and Ray (2001) we find that the effect of the degree of publicness depends on the group size. When the group is small (large), the degree of publicness increases (decreases) the likelihood of conflict. This opens an empirical question that we tackle using microdata from the Colombian conflict at the municipality level. We use three goods with different publicness degree to identify the sign of the effect of publicness on conflict. These goods are coca crops (private good), road density (public good subject to congestion) and average education quality (a purer public good). After dealing with endogeneity issues using an IV approach, we find that the degree of publicness reduces the likelihood of both paramilitary and guerrilla attacks. Moreover, coca production exacerbates conflict and the provision of both public goods mitigates conflict. These results are robust to size, geographical, and welfare controls. Policies that improve public goods provision will help to fight the onset of conflict.

Economic shocks and crime: evidence from the crash of ponzi schemes

In November 2008, Colombian authorities dismantled a network of Ponzi schemes, making hundreds of thousands of investors lose tens of millions of dollars throughout the country. Using original data on the geographical incidence of the Ponzi schemes, this paper estimates the impact of their break down on crime. We find that the crash of Ponzi schemes differentially exacerbated crime in affected districts. Confirming the intuition of the standard economic model of crime, this effect is only present in places with relatively weak judicial and law enforcement institutions, and with little access to consumption smoothing mechanisms such as microcredit. In addition, we show that, with the exception of economically-motivated felonies such as robbery, violent crime is not affected by the negative shock.

Choques al hogar, trabajo Infantil y acumulación de capital humano : evidencia para Colombia

En este trabajo se estima el efecto que tienen distintos choques a los hogares sobre el logro académico de los niños. Mediante un modelo de regresión lineal, se encuentra un efecto adverso de la presencia de choques sobre el puntaje de la prueba Saber 11. Además, los resultados sugieren que el trabajo infantil es un mecanismo por el cual los choques afectan negativamente la acumulación de capital humano. Al explorar efectos heterogéneos por sexo y edad, las estimaciones indican que el efecto de los choques es guiado por los hombres y los adolescentes mayores a 14 años.

Sangre de mártires, semilla de esperanza: construcción de las nociones de cuerpo y memoria tras la masacre de Trujillo

En esta investigación se pretende analizar la forma en que los familiares de víctimas de Trujillo y sus acompañantes han iniciado y desarrollado los procesos de reconstrucción de los hechos, de reparación simbólica y de duelo en un escenario donde el conflicto aún no ha cesado. Tras la masacre ocurrida entre 1986 y 1994 en Trujillo, Riofrío, Bolívar (Valle del Cauca) y el reconocimiento de responsabilidad por parte del Estado en 1995, los familiares de las víctimas decidieron unir fuerzas y trabajar conjuntamente en la construcción de una memoria histórica de los hechos violentos, pese a las amenazas y al hostigamiento que después de 20 años siguen latentes en Trujillo. Ahora bien, no sólo se quiere hablar de los procesos de memoria y duelo entre los trujillenses; también se quieren mostrar una perspectiva analítica que permite mostrarlos más allá del relato o los rituales; es decir desde el cuerpo como evidencia material de los hechos violentos y como construcción simbólica, desde los objetos como albergue de recuerdos e identidades particulares y desde el arte como medio de liberar el dolor, acercarse a la violencia y evadir por un instante la cruenta realidad que vela la vida de los trujillenses.

Foreign perception of sovereign risk : an event study of the colombian armed conflict

Este paper estudia la relación entre algunos de los eventos más importantes del conflicto colombiano con la percepción extranjera de riesgo soberano, medido por los Credit Default Swaps (CDS) de los bonos del Gobierno Colombiano. Usando dos metodologías relativamente recientes, yo estimo el efecto causal de los eventos de conflicto ampliamente cubierto por los medios internacionales. En primer lugar construyo un grupo de control sintético que funciona como contra factual de la serie real de los CDS colombianos pero en ausencia de eventos de conflicto. Segundo, estimo el efecto acumulado del evento bajo la metodología de retornos anormales acumulados. Los resultados sugieren que los efectos de los eventos de conflicto sobre la percepción extranjera de riesgo soberano dependen de las especificaciones de cada evento.

Is There or Is There Not an Armed Conflict in Colombia?

The Colombian government thinks that accepting that there is an internal armed conflict in the country implies recognizing international personality o the groups in arms against the legitimate government. This article intends to demonstrate that this is not true and that, being terrorist groups, cannot be recognised as belligerents.

Land Restitution and Prevention of Forced Displacement in Colombia

The armed conflict in Colombia, which has generated over three million internally displaced persons, has dramatic humanitarian consequences and raises serious issues regarding the protection of displaced peoples’ rights. The underlying reasons for the displacement often lie in the dynamics associated with territorial control and land seizures undertaken for strategic, military or purely economic purposes. Domestic and international legal provisions have established the victims’ right to the restitution of their homes and property as the “preferred remedy” in cases of displacement. However, policies dealing with displacement, both those of the Colombian government and of several international institutions, fail to take this sufficiently into account. A comprehensive reparation policy for victims must necessarily entail the reversion of lands, territories and goods seized in Colombia under the pretext of the internal armed conflict.

Forst, Rainer. Toleration in conflict: past and present. New York: Cambridge University Press; 2013, 635 p.

Reseña del libro

Sexual Violence Against Women as a Strategy to Dispossess Land in the Colombian Armed Conflict

This article reviews the evidence collected by diverse national and international organizations regarding the relationship between sexual violence against women, forced displacement, and dispossession in the context of the Colombian armed conflict. To this end, it uses the concept of “sexual violence regimes” to highlight that the endspursued by sexual violence are not always exhausted by simple consummation (that is, the act of sexual violence itself), but depending on the context, can be connected with broader strategic goals of armed actors. At the same time, this document admits the difficulty of proving this relationship with respect to judicial procedures, and thus sets out the possibility of creating a rebuttable presumption, in the framework of “unconstitutional state of affairs” created by judgment T-025 of 2004, that alleviates the burden of proof of the victims, and serves as a catalyst to promote new genderbased mechanisms of reparations.

Work-family conflict, burnout and work engagement among teachers: The moderating effect of job and personal resources

The present study contributes to the literature on the Job Demands-resources model in the italian school context. the aim of this paper is to examine how the interaction between work-family conflict (i.e., a typical job demand) and opportunities to learn and to develop and self-efficacy (i.e., typical job and personal resources, respectively) affect the core dimensions of burnout (exhaustion and depersonalization) and work engagement (vigor and dedication). Hypotheses were tested with a cross-sectional design among 143 teachers of a junior high school in the north of Italy. Results of moderated multiple regression analysis partially supported the hypotheses as the opportunities to learn and to develop buffered against the aversive effects of work-family conflict on depersonalization, whereas self-efficacy moderated the relationship between work-family conflict and vigor. From a practical viewpoint, our findings suggest that opportunities to learn and to develop and self-efficacy are important re- sources that help teachers to reduce the negative effects related to work-family conflict.

Armed conflict and paramilitary groups in Chiapas

The armed conflict in Chiapas began in 1994 after the armed uprising of the Zapatista Army of National Liberation (EZLN). Until now the Mexican government do not recognize the existence of an armed conflict there, for what they call inter-ethnic violence that happens in different municipalities in Chiapas. This study aims at demonstrating that, first, the Mexican state of Chiapas has an armed conflict since the mid-nineties, which has intensified and transformed over sixteen years. It is in this transformation that have emerged paramilitary groups seeking to destabilize the state, generating dynamics of appropriation and control of territory through different practices such as forced displacements, selective assassinations and terror spread within populations who are the targets of their attacks (mainly community support of the Zapatista Army of National Liberation). This work studied the "Peace and Justice" paramilitary group operating in different parts of the state of Chiapas, mainly in the Northern Zone. This case-study will look at the changes it has undergone Mexican democracy, which will be analyzed at two points: first, the failure of federal and Chiapas state to allow or endorse the creation of paramilitary groups and not to punish their actions; on the other, the consequences of the actions of such actors in democratic institutions, and democracy itself. Will seek to demonstrate that indeed both the permissiveness of the Mexican state and its complicity has weakened democracy in Mexico, since they are not able to manage conflict so that they do not degenerate into violence.

The Construction of a State Peace Policy and the Process of Conflict Resolution

The academic literature specialized on processes of conflict resolution has focused on how third party intervention and mediation can contribute to end violent conflict, however it has also ignored the potential role of the state in countries affected by internal war. This article calls for a better understanding of the state, not only as a source of contemporary conflict but as a potential advocate of conflict resolution processes. It suggests that it is necessary and possible to involve the state in more effective processes of conflict resolution through the implementation of a State Peace Policy. The central argument is that some of the critical elements that should guide the state action when confronting the destructive logic of war and violence can be effectively undertaken through a public policy focused on building peace. After suggesting a general definition of State Peace Policy and highlighting some of its main attributes, the article recognizes that this sort of policy can also orientate the unfinished process of state consolidation in Colombia and other countries affected by internal conflict. The role of the state in the process of conflict resolution is crucial; however there are some issues normally ignored within the policy-making process, they must be seriously taken into account in order to eliminate the underlying structures that perpetuate conflict and delay the consolidation of sustainable peace.-----La literatura académica especializada en procesos de resolución de conflictos se ha centrado en el estudio de cómo la intervención de terceras partes y la labor de mediación pueden contribuir a poner fin a los conflictos violentos, sin embargo, también ha ignorado el rol potencial del estado en aquellos países afectados por la guerra interna. Este artículo llama la atención sobre la necesidad de estudiar al estado no sólo como la fuente de los conflictos contemporáneos, sino como un colaborador potencial en procesos de resolución de conflictos. Se sugiere que es necesario y también posible involucrar al estado en este tipo de procesos de una manera más efectiva a través de la implementación de una Política de Estado centrada en la Paz. El argumento central es que algunos de los elementos claves que deben guiar la acción del estado cuando éste se enfrenta a la lógica destructiva de la guerra y la violencia, pueden ser efectivamente tratados a través de una política pública que de prioridad a la construcción de la paz. Luego de sugerir una definición general y destacar algunos de los principales atributos de ésta clase de Política de Estado, el artículo reconoce que ésta podría también orientar el proceso inacabado de consolidación del estado en Colombia y en otros países afectados por conflictos internos. El rol del estado en el proceso para resolver los conflictos es crucial, sin embargo hay algunos aspectos normalmente ignorados durante el proceso de formulación de políticas que deben ser tomados en cuenta seriamente para eliminar las estructuras que perpetúan el conflicto y que retrasan la consolidación de la paz sostenible.