Examinando por Materia "VARIABLES INSTRUMENTALES (ESTADISTICA)"

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    Oportunidades de arbitraje en activos de renta fija del mercado de TES Colombiano
    (Universidad EAFIT, 2019) Lopera Muñetón, Julián; Cardona Llano, Juan Felipe
    Arbitration, understood as the economic benefit of the simultaneous purchase and sale of the same asset that is traded in different markets, in the Colombian context, it is evidenced that the TES, negotiated in two platforms simultaneously, opens the possibility of carrying out operations of arbitration. Taking this into account, the present article seeks to determine through a practical exercise the viability of arbitration in the Colombian TES market. This exercise is divided into two parts, where the first one implements the Arbitrage Price Theory (APT) in order to determine if there is an arbitration premium, and in the second part, once it has been proven that this arbitration premium is normally distributed, an econometric exercise is developed to corroborate these arbitrage opportunities.