本文關(guān)鍵詞：配對交易的改進(jìn)設(shè)計(jì)　出處：《華南理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 配對交易 動(dòng)量策略 對沖交易 相關(guān)性

【摘要】：配對交易策略（Pairs Trading），最早源于上世紀(jì)20年代華爾街傳奇交易員JesseLivermore的姐妹股票對（sister stocks）交易策略，是歐美證券市場的對沖基金經(jīng)理常用的重要交易策略之一。但在我國證券市場，國泰君安、海通證券等機(jī)構(gòu)投資者于2009年才開始引進(jìn)并研究該策略。由于賣空方面的約束和高成本，傳統(tǒng)的配對交易并不完全適應(yīng)現(xiàn)在的市場。因此，本文的主要目的是對傳統(tǒng)的配對交易進(jìn)行改進(jìn)設(shè)計(jì)。 針對配對交易在我國證券市場運(yùn)用的局限性，本文主要在交易方式和股票池篩選兩個(gè)方面進(jìn)行了改進(jìn)，也即，采用動(dòng)量策略遴選配對交易股票池，以單邊交易替代傳統(tǒng)的雙邊對沖交易。改進(jìn)后配對交易的交易流程為：第一，運(yùn)用兩年觀察期一年交易期的動(dòng)量策略篩選股票池；第二，計(jì)算股票池內(nèi)股票與股票間的相關(guān)系數(shù)，，選取相關(guān)系數(shù)靠前的股票對；第三，根據(jù)股票對回歸殘差值建立配對模型并設(shè)立交易規(guī)則；第四，程序化交易。 本文對配對交易的可行性及效益性，采用歷史模擬的方法進(jìn)行實(shí)驗(yàn)驗(yàn)證。實(shí)驗(yàn)結(jié)果表明，從2004年至2013年，改進(jìn)的配對交易的年化收益率為38.33%，而對樣本股票采用買入并持有策略的年化收益率26.58%；改進(jìn)的配對交易夏普比率為6.80，而樣本的買入并持有策略夏普比率為4.82。因此，改進(jìn)的配對交易具有可行性和效益性。 本文的貢獻(xiàn)主要體現(xiàn)在，在配對交易股票池的篩選上運(yùn)用動(dòng)量策略的方法，在交易方式上用單邊交易替代了原來的對沖交易。因?yàn)楦倪M(jìn)后的配對交易放寬對市場提供賣空機(jī)制的要求約束，更適用我國證券市場運(yùn)行，也是本產(chǎn)品最大的價(jià)值所在。而運(yùn)用動(dòng)量策略來篩選股票池，一方面拓寬了配對交易股票池的篩選方法，另一方面也提升了動(dòng)量策略的實(shí)用價(jià)值。
[Abstract]:Pairs trading strategy. In -80s, sister stock to sister stocks of JesseLivermore, a legendary trader on Wall Street, started trading strategies. It is one of the most important trading strategies used by hedge fund managers in European and American securities markets. However, in China's securities market, Guotai Junan is one of the most important trading strategies. In 2009, Haitong Securities and other institutional investors began to introduce and study this strategy. Because of the constraints and high costs of short selling, the traditional matching transactions do not fully adapt to the current market. The main purpose of this paper is to improve the design of traditional matching transactions. In view of the limitations of pairing trading in China's securities market, this paper mainly improves the trading mode and stock pool selection, that is, the momentum strategy is used to select the paired trading stock pool. The improved trading process is as follows: first, the momentum strategy of one year trading period of two years observation period is used to screen the stock pool; Second, calculate the correlation coefficient between stock and stock in the stock pool, select the stock pair with the highest correlation coefficient; Third, according to the stock regression residual value to establish a pairing model and set up trading rules; 4th, programmed transaction. In this paper, the feasibility and benefit of paired transactions are verified by the method of historical simulation. The experimental results show that from 2004 to 2013. The annual rate of return of the improved pairing transaction is 38.33, while that of the sample stock is 26.58 with the strategy of buying and holding. The improved pair trading Sharp ratio is 6.80, while the sample buying and holding strategy is 4.82. Therefore, the improved pair trading is feasible and effective. The contribution of this paper is mainly reflected in the use of momentum strategy in the selection of paired stock pools. Unilateral trading is used to replace the original hedging transactions. Because the improved matching transactions relax the requirements of the market to provide short selling mechanism, it is more suitable for the operation of China's securities market. The use of momentum strategy to screen stock pools not only broadens the screening methods of paired stock pools, but also enhances the practical value of momentum strategies.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1404685