Trading Strategies

A Curious Intraday Pattern in the Brazilian stock Index Future

Since the first article of this blog (Technical Analysis for intraday stocks trading? FORGET IT!), i’m pointing to the fact that there is a lot of cross correlation between stocks and between stocks and the future index. That’s not new to anyone and even those who are starting at the quantitative trading/analysis come to realize this on their own. But, is there some way we can explore that pattern and extract some alpha?

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Trading Strategies

Arbitrage on cross-section returns in Brazilian stock market

A lot of research already have been done trying to find out how to predict the stocks market returns. On a daily time frame, both¬†trend-following and mean-reversal trading strategies applied to single stocks can’t sustain a stable Sharpe ratio across the time, making us believe that even if the random walk hypotesis is wrong, we still can’t find a model that precisely describe how the prices moves. But, as discussed in my previous article (Technical Analysis for intraday stocks trading? FORGET IT!), the relationship between the stock’s future index ¬†and the stocks individualy allow us to gather some Alpha.

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