本文選題：配對交易　切入點：收益　出處：《東華大學》2014年碩士論文

【摘要】：近年國內(nèi)A股市場一直是震蕩下跌趨勢。股市中傳統(tǒng)的做多策略在當前行情中效果越來越差。投資者對于投資策略的需求越來越多樣化。其中配對交易作為一種低風險,收益穩(wěn)定的策略越來越受關(guān)注。當前配對交易對于股票對的選取大都基于統(tǒng)計學中的相關(guān)性理論,股票對的相關(guān)性理論與交易對沖策略無關(guān)聯(lián)。本文主要介紹的是一種基于收益率相對波動的配對方法,該方法使用累計收益的價差為依據(jù)來考察股票之間的相關(guān)性,通過歷史收益率來確定股票之間的相關(guān)性。該方法的目標是：找到相關(guān)程度高且股價相對波動幅度大的股票對,在股價波動過程中反復套利,從而達到贏利的目的。經(jīng)過程序測試發(fā)現(xiàn),基本策略在上證指數(shù)大漲時收益很好,在上證指數(shù)震蕩和下跌時,短期投資收益下降,但長期收益會很好。所以本策略在操作上可行,將來改進之后的策略能進一步提高收益。本文研究的主要內(nèi)容如下： (1)提出一種新的配對交易模型。該模型利用股票對的累計收益率來形成價差序列,利用股票組合的最終收益率來評估組合之間的相關(guān)性,最后用模擬樣本數(shù)據(jù)進行模擬測試,證明了盈利模型有效、可用。 (2)實現(xiàn)配對交易系統(tǒng)。包括股票配對模塊和交易執(zhí)行模塊。股票配對模塊完成指定股票市場的股票配對和篩選工作,交易執(zhí)行模塊模擬指定股票對在某一個時間段中配對交易過程,在這個過程中,記錄每筆交易的動作、交易信號和最后的收益。 (3)配對交易算法優(yōu)化。本文針對配對交易算法的收益與風險進行一定程度的優(yōu)化,利用技術(shù)指標和公告消息優(yōu)化收益,利用止損策略來控制交易系統(tǒng)的風險。 本文描述的配對交易算法在應用中得到了實踐檢驗,實踐結(jié)果證明該算法與系統(tǒng)的有效性,可以滿足實際的需要。
[Abstract]:In recent years, the domestic A share market has been a trend of volatility and decline. The traditional long strategy in the stock market is getting worse and worse in the current market. Investors' demand for investment strategies is becoming more and more diversified. The strategy of income stabilization is getting more and more attention. The selection of stock pairs in current pairing trading is based on the correlation theory in statistics. The correlation theory of stock pairs has no relation with hedging strategy. This paper mainly introduces a pairing method based on relative volatility of yield, which uses the spread of cumulative return as the basis to investigate the correlation between stocks. The objective of this method is to find out the stock pairs with high correlation and the relative volatility of the stock price, and to carry the stock price over and over again in the process of the stock price fluctuation, the objective of the method is to find the stock pairs with high correlation and the relative volatility of the stock price. In order to achieve the goal of profit. Through the program test, we found that the basic strategy is very good when the Shanghai stock index rises sharply, and when the Shanghai stock index fluctuates and falls, the short-term investment returns fall. But the long-term income will be very good. Therefore, this strategy is feasible in operation, and the future improved strategy can further improve the income. The main contents of this paper are as follows:. In this model, the cumulative return rate of the stock pair is used to form the spread sequence, the final return rate of the stock portfolio is used to evaluate the correlation of the portfolio, and the simulated sample data is used to simulate the test. It is proved that the profit model is effective and available. 2) implement the pairing trading system, including the stock pairing module and the trading execution module. The stock pairing module completes the stock pairing and screening work in the designated stock market. The transaction execution module simulates the paired trading process of a specified stock pair in a certain period of time during which the actions of each transaction the trading signal and the final return are recorded. This paper optimizes the profit and risk of the pairing transaction algorithm to a certain extent, optimizes the income by using the technical index and the announcement message, and controls the risk of the trading system by the stop-loss strategy. The pairing transaction algorithm described in this paper has been tested in practice. The practical results show that the algorithm and the system are effective and can meet the practical needs.
【學位授予單位】：東華大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：TP301.6;F832.51

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