Browsing by Author "Alomia, Luis Fidel"
Now showing 1 - 1 of 1
Results Per Page
Sort Options
Item Fractales y Divisas: una contrastación de la hipótesis del mercado eficiente y el desarrollo de un modelo de trading cuantitativo, respaldado por la teoría fractal en los pares de divisa GBP/USD y EUR/USD en el periodo 2018-2020.(Universidad Santiago de Cal, 2021) Alomia, Luis Fidel; Prado, Banner Andrés; Beltrán, Daniel MauricioThe efficient market hypothesis has long been the dominant current of thought in financial markets, which is why a large number of models have emerged from its theoretical assumptions, with which an attempt has been made to explain and predict the behavior of the market. price of financial assets, however, for the creation of these models, it is necessary to start from a series of assumptions that do not obey the true movement of the price, causing said systems to fail over time, which is why it is necessary The search and use of alternative approaches that allow a better adjustment to the reality of the price, is therefore that, in this work, fractal theory is used as an alternative approach, not only to contrast the hypothesis of market efficiency, but also in addition, to create a model that allows profitable speculation over time. To this end, the research is divided into three parts, in the first, the state of the art is presented together with the objectives and research hypotheses, in the second part, the frame of reference is supported by the contextual, theoretical and conceptual framework. And finally, in the third part, the research methodology is developed and the results of the model are interpreted, reaching the conclusion that the market presents evidence of persistence in its yield series, during the observed period, for the EUR / currency pairs.USD AND GBP / USD and therefore, it could be said that in some moments of the distribution the price of these currencies develops in a fractal way, contrary to the hypotheses of normality and complete randomness indicated by the efficient market hypothesis, in addition it is also achieves the creation of a profitable fractal model during the 3 years analyzed, with a profit of 196.4%, a maximum annual reduction of 3.9% and a risk of ruin (RoR) of 1.26%, according to the results obtained through the backtesting.