本文關(guān)鍵詞： 統(tǒng)計(jì)套利策略 協(xié)整 主成分分析 證券市場　出處：《山東財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：2011年在中國金融史上是不平凡的一年，，融資融券的正式推出不僅為中國證券市場帶來了做空機(jī)制，也使得中國證券市場徹底告別了單邊市的時(shí)代。中國的證券市場也將進(jìn)入機(jī)會(huì)更多、更有效率和市場化程度更高的新時(shí)期。很多以前在發(fā)達(dá)國家得到廣泛應(yīng)用的投資理念和策略，也將在中國落地生根大放異彩。這其中就包括統(tǒng)計(jì)套利的投資策略和技術(shù)應(yīng)用。 本文正是在這種大背景下，通過借鑒金融發(fā)達(dá)國家的統(tǒng)計(jì)套利投資理念，針對(duì)中國內(nèi)地證券市場做實(shí)證分析，也算是統(tǒng)計(jì)套利中國化的初步探索。 通過長期的證券投資實(shí)踐，人們總結(jié)出很多規(guī)律和投資策略，這其中就包括了利用股票與股票價(jià)格之間的長期均衡關(guān)系和在短時(shí)間內(nèi)打破這種均衡關(guān)系的“異象”之間進(jìn)行套利的統(tǒng)計(jì)套利策略。本文通過對(duì)統(tǒng)計(jì)套利技術(shù)的介紹、分析和實(shí)證檢驗(yàn)，證實(shí)了這種投資策略在中國內(nèi)地證券市場上應(yīng)用的可行性。 統(tǒng)計(jì)套利策略有很多具體的方法，本文采用了應(yīng)用最為廣泛的協(xié)整策略和主成分分析策略。通過對(duì)這兩種方法的對(duì)比得出了主成分分析方法效率更高，在國內(nèi)市場更加實(shí)用的一般性結(jié)論。在實(shí)證分析中，我們使用了很多殘差處理模型和樣本期外時(shí)間窗口外推方法。經(jīng)過對(duì)比分析我們得出了使用正態(tài)分布和均值回歸模型處理殘差序列，使用每日平移時(shí)間窗口外推方法收益率最高的結(jié)論。
[Abstract]:2011 was an extraordinary year in China's financial history. The formal introduction of margin financing not only brought about a short selling mechanism for China's securities market, It also made China's securities market bid farewell to the era of one-sided market. China's securities market will also have more opportunities. Many of the investment ideas and strategies that were widely used in developed countries will also take root in China. This includes the investment strategy and technology application of statistical arbitrage. It is under this background that this paper makes an empirical analysis on the securities market in the mainland of China by referring to the statistical arbitrage investment concept of the developed financial countries. It is also a preliminary exploration of statistical arbitrage in China. Through long-term securities investment practice, people have summed up a lot of laws and investment strategies. This includes the statistical arbitrage strategy which uses the long-term equilibrium relationship between stock and stock price and breaks the "vision" of the equilibrium relationship in a short time. The analysis and empirical test confirm the feasibility of applying this investment strategy to the securities market in mainland China. There are many specific methods for statistical arbitrage strategy. This paper adopts the most widely used cointegration strategy and principal component analysis strategy. By comparing these two methods, it is concluded that the principal component analysis method is more efficient. A more practical general conclusion in the domestic market. In empirical analysis, We use a lot of residual processing models and extrapolation methods of time window outside the sample period. Through comparison and analysis, we get that we use normal distribution and mean regression model to deal with residual sequences. Use the daily translation time window extrapolation method to get the highest rate of return.
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

【引證文獻(xiàn)】

相關(guān)期刊論文 前1條

1 杜夏筠;;基于協(xié)整理論的統(tǒng)計(jì)套利方法及實(shí)證[J];市場研究;2013年09期

本文編號(hào)：1522045