本文選題：統(tǒng)計(jì)套利　切入點(diǎn)：協(xié)整關(guān)系　出處：《浙江工商大學(xué)》2013年碩士論文

【摘要】：上個(gè)世紀(jì)80年代,從摩根士丹利的研究人員所創(chuàng)造的匹配交易開始,人們逐漸把各種計(jì)量方法運(yùn)用于證券交易中,由此開始了統(tǒng)計(jì)套利的輝煌時(shí)代。但21世紀(jì)統(tǒng)計(jì)套利遭遇了挑戰(zhàn),它原先所帶來的巨額利潤(rùn)慢慢變得越來越薄,人們也開始懷疑它存在的價(jià)值,盡管如此統(tǒng)計(jì)套利的實(shí)際存在意義是不容否定的。 統(tǒng)計(jì)套利在我國(guó)使用和研究的時(shí)間并不長(zhǎng),本文以建立協(xié)整關(guān)系模型和GARCH異方差模型為基礎(chǔ)針對(duì)豆油和棕櫚油這兩個(gè)期貨品種從2013年1月到10月的價(jià)格序列進(jìn)行了統(tǒng)計(jì)套利的實(shí)證分析。從分析的結(jié)果來看,以運(yùn)用協(xié)整關(guān)系模型和誤差修正模型所計(jì)算的均衡價(jià)差為基礎(chǔ)的統(tǒng)計(jì)套利要遠(yuǎn)遠(yuǎn)優(yōu)于按照市場(chǎng)中性的假定所計(jì)算的價(jià)差為基礎(chǔ)的統(tǒng)計(jì)套利；以GARCH模型計(jì)算所得出的條件標(biāo)準(zhǔn)差為基礎(chǔ)的統(tǒng)計(jì)套利從穩(wěn)定性和長(zhǎng)期性上來說要優(yōu)于以固定標(biāo)準(zhǔn)差為基礎(chǔ)的統(tǒng)計(jì)套利,以固定標(biāo)準(zhǔn)差為基礎(chǔ)的統(tǒng)計(jì)套利只能在短期內(nèi)獲得比較高的收益,在長(zhǎng)期會(huì)帶來很大的風(fēng)險(xiǎn)性和不確定性。 本文得出的最終結(jié)論是在確定好兩個(gè)確實(shí)存在很強(qiáng)相關(guān)關(guān)系的期貨品種之后,運(yùn)用協(xié)整關(guān)系模型和誤差修正模型計(jì)算得到均衡價(jià)差,再在此基礎(chǔ)上建立GARCH模型,得到條件標(biāo)準(zhǔn)差,以條件標(biāo)準(zhǔn)差為基礎(chǔ)進(jìn)行統(tǒng)計(jì)套利總是能夠獲得穩(wěn)定的、風(fēng)險(xiǎn)較小的套利收益。以不同的標(biāo)準(zhǔn)差的倍數(shù)作為交易的信號(hào)會(huì)帶來不同的套利收益,以較大的標(biāo)準(zhǔn)差的倍數(shù)作為開倉信號(hào)會(huì)帶來較大的套利的收益,但同時(shí)會(huì)減少套利的次數(shù)；與此相反,以較小的標(biāo)準(zhǔn)差作為開倉信號(hào)所帶來的套利收益較小,套利次數(shù)較多。投資者可以根據(jù)不同的偏好和需求選擇不同的開倉標(biāo)準(zhǔn)。
[Abstract]:Since the matching trading created by Morgan Stanley researchers in the 1980s, people have gradually applied various measurement methods to securities trading, thus starting the glorious era of statistical arbitrage.However, the statistical arbitrage in the 21st century has been challenged. The huge profits it brought are becoming thinner and thinner, and people begin to doubt the value of its existence, although the practical significance of statistical arbitrage cannot be denied.Statistical arbitrage has not been used and studied for a long time in China.Based on the cointegration model and GARCH heteroscedasticity model, this paper makes an empirical analysis on the price sequence of soybean oil and palm oil from January to October 2013.From the results of the analysis, the statistical arbitrage based on the equilibrium spread calculated by the cointegration model and the error correction model is far better than the statistical arbitrage based on the market neutral assumption.The statistical arbitrage based on the conditional standard deviation obtained by the GARCH model is better than the statistical arbitrage based on the fixed standard deviation in terms of stability and long-term.The statistical arbitrage based on the fixed standard deviation can only obtain higher returns in the short term, which will bring great risks and uncertainties in the long run.The final conclusion of this paper is that after determining two futures varieties with strong correlation relationship, the equilibrium price difference is calculated by using the cointegration model and the error correction model, and then the GARCH model is established on this basis.To obtain conditional standard deviation, statistical arbitrage based on conditional standard deviation can always obtain stable arbitrage income with less risk.Using multiple of different standard deviations as a signal of a transaction will bring different arbitrage returns. Using a multiple of a larger standard deviation as an opening signal will result in a larger arbitrage return, but at the same time reduce the number of arbitrage times; in contrast,Using smaller standard deviation as opening signal brings less arbitrage income and more arbitrage times.Investors can choose different opening criteria according to different preferences and needs.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F724.5;F224

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本文編號(hào)：1693013