【摘要】：統(tǒng)計(jì)套利策略是世界上發(fā)達(dá)國家對沖基金以及機(jī)構(gòu)投資者所成功運(yùn)用的策略之一,統(tǒng)計(jì)套利的實(shí)行可以為投資人獲得數(shù)額較大的低風(fēng)險(xiǎn)的收益。由于我國金融市場的統(tǒng)計(jì)套利研究還處于起步階段,因此統(tǒng)計(jì)套利策略的研究具有非常重要的意義。 本文選取上海期貨交易所的銅期貨合約進(jìn)行研究,考慮到在相鄰2期的合約間除了合約的到期日不同以外,其它的基本相同,選取適合的統(tǒng)計(jì)套利交易研究對象。本文選取2012年9月6日到9月13日上海期貨交易所的Cul303和Cul304的收盤價(jià)進(jìn)行研究,此外,為盡量挖掘具有潛在性的統(tǒng)計(jì)套利的交易的機(jī)會(huì),本文利用這2支合約5分鐘的收盤價(jià)構(gòu)成高頻數(shù)據(jù)作為本文的研究樣本。本文通過協(xié)整理論來對期貨合約間長期均衡的關(guān)系進(jìn)行檢驗(yàn),之后以協(xié)整系數(shù)為統(tǒng)計(jì)的套利配對交易系數(shù)檢驗(yàn)期貨的合約之間均衡關(guān)系。然后,對套利交易收益的最大化最優(yōu)觸發(fā)點(diǎn)進(jìn)行確定。按照風(fēng)險(xiǎn)定價(jià)的策略來對止損的上邊界、下邊界進(jìn)行確定,目的使風(fēng)險(xiǎn)問題得到有效的控制并且試圖將風(fēng)險(xiǎn)控制在最低,從而對統(tǒng)計(jì)套利的最優(yōu)策略進(jìn)行構(gòu)建。最后,按照所構(gòu)建的最優(yōu)策略進(jìn)一步對樣本期內(nèi)的相關(guān)數(shù)據(jù)進(jìn)行分析以及模擬交易,從而檢驗(yàn)統(tǒng)計(jì)套利策略在我國期貨市場的可行性。
[Abstract]:Statistical arbitrage strategy is one of the successful strategies used by hedge funds and institutional investors in developed countries in the world. The study of statistical arbitrage is of great significance because the study of statistical arbitrage is still in its infancy. In this paper, the copper futures contracts of Shanghai Futures Exchange are selected to study. Considering that the contracts in the next two periods are basically the same except for the different maturity dates of the contracts, the suitable statistical arbitrage trading objects are selected. This paper studies the closing prices of Cul303 and Cul304 in Shanghai Futures Exchange from September 6 to September 13, 2012. In addition, in order to explore the potential statistical arbitrage trading opportunities as far as possible, In this paper, the 5-minute closing price of these two contracts is used as the sample of this study. In this paper, the long-term equilibrium relationship between futures contracts is tested by cointegration theory, and then the equilibrium relationship between futures contracts is tested by the arbitrage pairing transaction coefficient with cointegration coefficient as statistics. Then, the optimal trigger point of maximization of arbitrage return is determined. According to the strategy of risk pricing, the upper and lower boundaries of stop loss are determined, in order to effectively control the risk problem and try to keep the risk to the lowest, the optimal strategy of statistical arbitrage is constructed. Finally, according to the optimal strategy, we further analyze the relevant data in the sample period and simulate the transaction, so as to test the feasibility of statistical arbitrage strategy in China's futures market.
【學(xué)位授予單位】：長春工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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本文編號(hào)：2347754