Graduate School and University Center Archives Finding Aid - Record Group V-D: Presidents' Files: Kelly

This is part of the finding aid to the Graduate School and University Center (GSUC) Archives. Record Group V-D is the papers of William P. Kelly from when he was president of the GSUC (2005-2013).

Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.

Literatura e debate pós-colonial em A história do bando de Kelly, de Peter Carey

Pós-graduação em Letras - IBILCE

John Granberry Kelly Papers - Accession 30

The John Granberry Kelly Papers consist mainly of correspondence but also included are reports, minutes, constitutions, speeches and other papers pertaining to Mr. Kelly’s work as Winthrop registrar and to his role in organizing the Southern Association of Collegiate Registrars.

James Fitzmaurice-Kelly, Brustbild, Profil

Signatur des Originals: S 36/F10708