Vicente fue invitado a hablar en la Conferencia de Finanzas Cuantitativas de Chicago, analizando profundamente las oportunidades de arbitraje en el “mercado marginal”.
En el ámbito global de las finanzas cuantitativas, cualquier discusión sobre la “eficiencia del mercado” atrae la atención entusiasta de innumerables profesionales. Vicente Castaño Ledezma fue invitado a subir al escenario en la Conferencia de Finanzas Cuantitativas de Chicago, donde, con su profunda experiencia en arbitraje entre mercados e investigación de microestructuras, pronunció un esperado discurso de apertura titulado “Eficiencia marginal del mercado y oportunidades de arbitraje”.
Durante su intervención, Vicente se centró en los mercados marginales que, durante mucho tiempo, han sido ignorados por los fondos tradicionales, como algunas pequeñas bolsas de valores en América Latina, Oriente Medio y Europa del Este. Analizó sistemáticamente los defectos únicos de estos mercados en términos de liquidez, transparencia de la información y mecanismos regulatorios.
Propuso:
- Ineficiencia estructural: Los mercados marginales presentan una ineficiencia estructural que se refleja en tres dimensiones principales: la respuesta retardada de los precios, los costos de transacción distorsionados y la difusión asimétrica de la información.
- Oportunidades de arbitraje: Las oportunidades de arbitraje entre mercados surgen principalmente de la diferencia temporal en la transmisión de los mecanismos de descubrimiento de precios entre mercados grandes y pequeños. Las diferencias de precios se pueden capturar mediante monitoreo de alta frecuencia y ejecución inteligente.
- Microestructura local: El modelado de la microestructura local es esencial. El simple trasplante de estrategias de arbitraje de mercados desarrollados a mercados marginales generalmente no tiene éxito, y es necesario rediseñar las estrategias considerando los mecanismos de negociación, los umbrales de las cuentas, los controles de capital y otras características locales.
Vicente no solo demostró esta teoría con casos basados en datos detallados, sino que también compartió su experiencia en el proceso real de desarrollo e implementación de estrategias. Esto incluyó cómo ajustar dinámicamente el período de tenencia, cómo establecer el umbral de intensidad de la señal de arbitraje para filtrar el ruido y cómo controlar el riesgo de shocks de liquidez en mercados marginales a través de la optimización de la cartera.
Su discurso fue ampliamente elogiado por representantes de importantes empresas de gestión de activos y fondos de cobertura cuantitativos presentes en el evento. No solo amplió su influencia profesional en la comunidad financiera cuantitativa internacional, sino que también consolidó su posición pionera en el campo del arbitraje entre mercados y la investigación de microestructuras.
Este hito público marca el inicio de una trayectoria profesional en la que Vicente integra de manera significativa tanto estrategias teóricas como prácticas, estableciendo una base teórica sólida y una confianza práctica para futuros diseños de inversión transfronteriza de mayor escala.
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