本文關鍵詞： 協(xié)整 GARCH模型 主成分分析 突變理論　出處：《華東師范大學》2012年碩士論文　論文類型：學位論文

【摘要】：統(tǒng)計套利是一種交易策略,它的目的是建這樣一個投資組合：尋找具有協(xié)整關系的一對股票,當這對股票的股價相互偏離值達到一定程度時,做空較高價位的股票,同時做多較低價位的股票。當這對股票的股價相互偏離值縮小到一定程度時,反方向平倉掉投資組合內股票,從而獲得投資收益。統(tǒng)計套利的優(yōu)點是市場中性,即不管市場如何波動,該策略所構建的投資組合都可以對沖掉市場的系統(tǒng)性風險。 目前國內外的學者對統(tǒng)計套利做了不少研究,主要集中于配對股票的選取方式和交易信號的選擇。本文將在已有研究的基礎上,運用最新的數(shù)據(jù),對統(tǒng)計套利的各種常用模型在我國的證券市場上進行實證檢驗,包括正態(tài)分布模型,GARCH模型等。研究結果顯示：運用GARCH模型會產(chǎn)生過多的交易信號,導致套利的收益無法抵償交易的費用,而正態(tài)分布模型更加適用于我國的證券市場。以民生銀行和招商銀行為例,在2007年到2011年的時間段內,投資組合可以獲得平均17%的年化收益率。 早期的研究大多集中于一對一的股票配對交易,本文將對此進行擴展,研究一對多的配對方式。研究結果顯示一對一的配對和一對多的配對各有優(yōu)點,兩者都可以提供很多統(tǒng)計套利的機會,一對一的配對對兩只股票的相關性要求更高,一對多的配對更加適用于流通市值較小、交投活躍、波動幅度大的股票。本文最后將突變理論引進到統(tǒng)計套利中,突變理論是指在某個節(jié)點的前后時間序列的統(tǒng)計特征發(fā)生了變化。本文運用似然估計法找出上證指數(shù)和配對個股的突變點,結合突變點改進交易信號。研究結果顯示這一方法可以獲得更好的收益,同時承受更低的風險。
[Abstract]:Statistical arbitrage is a trading strategy that aims to build a portfolio that looks for a pair of stocks with a cointegration relationship when the stock price deviates from each other to a certain extent. Short stocks at a higher price and long stocks at a lower price. When the price deviations from each other are reduced to a certain extent, sell the shares in the portfolio in the opposite direction. The advantage of statistical arbitrage is that it is market neutral, that is, no matter how volatile the market, the portfolio constructed by the strategy can hedge the systemic risk of the market. At present, scholars at home and abroad have done a lot of research on statistical arbitrage, mainly focused on the selection of matching stocks and trading signals. This paper will use the latest data on the basis of existing research. The common models of statistical arbitrage are tested in the stock market of China, including the normal distribution model. GARCH model and so on. The results show that: the use of GARCH model will produce too many transaction signals, resulting in arbitrage income can not cover the transaction costs. The normal distribution model is more suitable for China's securities market. Taking Minsheng Bank and China Merchants Bank for example, the period from 2007 to 2011. The portfolio yields an average of 17% annualized returns. Earlier studies focused on one-to-one stock pairing, which is expanded to study one-to-many pairing. The results show that one-to-one pairing and one-to-many pairing have their respective advantages. Both can provide a lot of statistical arbitrage opportunities, one-to-one pairs of two stocks of higher correlation requirements, one-to-many pairs more suitable for circulation market value small, active trading. In the end, the catastrophe theory is introduced into statistical arbitrage. Catastrophe theory refers to the change of statistical characteristics of time series before and after a certain node. In this paper, we use the likelihood estimation method to find out the mutation point of Shanghai stock index and matched stock. Improved trading signals with mutation points. Research results show that this approach can achieve better returns while at the same time taking lower risks.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51

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