發(fā)布時(shí)間：2018-02-22 21:19

  本文關(guān)鍵詞： 配對(duì)交易 融資融券 隨機(jī)價(jià)差 均值回復(fù) 協(xié)整檢驗(yàn) 止損邊界 夏普比率　出處：《浙江大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：配對(duì)交易策略的研究由來已久。2010年以來,國(guó)內(nèi)市場(chǎng)逐步放開,我國(guó)相繼推出了融資融券業(yè)務(wù)和股指期貨產(chǎn)品,這兩項(xiàng)舉措為包括配對(duì)交易在內(nèi)的統(tǒng)計(jì)套利模型在中國(guó)金融市場(chǎng)中的應(yīng)用提供了現(xiàn)實(shí)的基礎(chǔ)。 本文首先對(duì)配對(duì)交易過程進(jìn)行了深入的分析和總結(jié),主要分為三個(gè)方面：一是配對(duì)股票的選擇,二是配對(duì)交易策略,三是收益的度量與風(fēng)險(xiǎn)控制。 其次,本文對(duì)同質(zhì)性較強(qiáng)的銀行股票進(jìn)行了實(shí)證分析。選用了日數(shù)據(jù),30分鐘數(shù)據(jù),以及1分鐘這三種頻率的數(shù)據(jù)。先利用滾動(dòng)相關(guān)系數(shù)法和滾動(dòng)協(xié)整法來進(jìn)行股票對(duì)的選擇。然后對(duì)最優(yōu)建倉時(shí)機(jī)與平倉時(shí)機(jī)進(jìn)行了探測(cè)。針對(duì)日數(shù)據(jù),本文探索出的最優(yōu)進(jìn)出場(chǎng)邊界分別是0.85倍及2.8倍標(biāo)準(zhǔn)差,同時(shí)采取二日均線止損；針對(duì)30分鐘高頻數(shù)據(jù),本文探索出的最優(yōu)進(jìn)出場(chǎng)邊界分別是0.55倍及3.5倍標(biāo)準(zhǔn)差；針對(duì)1分鐘高頻數(shù)據(jù),本文探索出的最優(yōu)進(jìn)出場(chǎng)邊界分別是0.95倍及2.3倍標(biāo)準(zhǔn)差,同時(shí)不采取止損�？紤]交易費(fèi)用后的平均年化收益率分別為6.51%,11.44%,54.31%,遠(yuǎn)高于同期無風(fēng)險(xiǎn)收益率；夏普比率則均較低。而且還利用探測(cè)出的最優(yōu)進(jìn)出場(chǎng)邊界對(duì)樣本外數(shù)據(jù)進(jìn)行了交易,結(jié)果表現(xiàn)良好。 此外,本文還對(duì)兩種交易費(fèi)用進(jìn)行了敏感性分析。其中對(duì)日數(shù)據(jù)而言,交易時(shí)間跨度較長(zhǎng),融券費(fèi)率對(duì)配對(duì)交易的獲利能力影響較大,而其它交易費(fèi)用對(duì)收益的影響則略小一些。
[Abstract]:Since 2010, the domestic market has been gradually liberalized, and China has introduced margin trading and stock index futures products one after another. These two measures provide a practical basis for the application of statistical arbitrage models, including pairing transactions, in Chinese financial markets. This paper firstly analyzes and summarizes the process of paired trading, which is mainly divided into three aspects: first, the choice of paired stocks, the second is the strategy of paired trading, and the third is the measurement and risk control of returns. Secondly, this paper makes an empirical analysis of bank stocks with strong homogeneity. And 1 minute data of these three frequencies. First, the rolling correlation coefficient method and rolling cointegration method are used to select the stock pairs. Then, the optimal position setting time and the closing time are detected. The optimal boundary of the field is 0.85 times and 2.8 times standard deviation respectively, and the two day average stop loss is taken, and the optimal exit and exit field boundary is 0.55 times and 3.5 times standard deviation for the high frequency data of 30 minutes. According to the 1 minute high frequency data, the optimal boundary of the field is 0.95 times and 2.3 times standard deviation respectively, and the stop loss is not taken. The average annual rate of return after taking into account the transaction cost is 6.51 and 11.44 / 54.31 respectively, which is much higher than the risk-free return rate in the same period. Sharpe ratio is lower, and the best boundary of incoming and outgoing field is used to trade the data out of the sample, and the result is good. In addition, the sensitivity analysis of two kinds of transaction costs is carried out. For the daily data, the transaction time span is longer, and the margin rate has a great influence on the profitability of the matching transaction. Other transaction costs have a slightly smaller impact on earnings.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51

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相關(guān)碩士學(xué)位論文 前3條

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本文編號(hào)：1525334