基于協(xié)整的統(tǒng)計套利模型在融資融券市場下應用研究
發(fā)布時間：2018-08-12 17:24
【摘要】：自2010年3月31日我國融資融券交易試點啟動以來,融資融券業(yè)務經過4年的發(fā)展規(guī)模大幅提高。我國做空機制的不斷完善為統(tǒng)計套利在我國市場實施提供了有利條件。本文前部分簡單的介紹了融資融券的基礎知識、統(tǒng)計套利的相關理論及協(xié)整檢驗的方法。最后系統(tǒng)的研究了基于協(xié)整理論的統(tǒng)計套利模型的建立方法,以及交易信號的制定。針對傳統(tǒng)的統(tǒng)計套利模型存在的不足,分別對套利模型和交易信號進行改進,提出了基于協(xié)整的優(yōu)化統(tǒng)計套利模型。采用了如下優(yōu)化方法： ◇延后開倉策略 ◇提前平倉策略 ◇利用GARCH模型對交易組合的價差序列進行處理,用時變標準差代替簡單標準差,確定交易觸發(fā)條件和止損邊界 ◇滑動平均模型法預測長期均衡關系 實證部分基于2012年2月21日至2014年2月21日最新數(shù)據(jù),從標的股票相關性、平穩(wěn)性、協(xié)整性及價差回歸速度等角度對5個行業(yè)的股票進行篩選,本文最后選取了大同煤業(yè)和平煤股份兩只股票�；诖笸簶I(yè)和平煤股份兩只股票近兩年最新交易數(shù)據(jù),建立基于協(xié)整的傳統(tǒng)統(tǒng)計套利模型和優(yōu)化統(tǒng)計套利模型。從理論和實證分析中可以看出,基于協(xié)整的統(tǒng)計套利模型在我國股票市場具有可行性,提前平倉、延后開倉、基于GARCH的時變標準差以及滑動平均模型在統(tǒng)計套型中的應用是非常有效的。他們能夠更好地捕獲套利機會、提高套利成功效率、降低套利風險,提高套利收益。
[Abstract]:Since the trial of margin trading in China started on March 31, 2010, the scale of margin trading has been greatly improved after 4 years of development. The continuous improvement of short-selling mechanism in China provides favorable conditions for the implementation of statistical arbitrage in our market. The first part of this paper briefly introduces the basic knowledge of margin financing, statistical arbitrage theory and cointegration test method. Finally, the establishment method of statistical arbitrage model based on cointegration theory and the formulation of transaction signal are systematically studied. Aiming at the shortcomings of the traditional statistical arbitrage model, the paper improves the arbitrage model and the transaction signal, and proposes an optimized statistical arbitrage model based on cointegration. The following optimization methods are adopted: the delayed opening strategy and the early closing strategy process the price difference sequence of the transaction combination with GARCH model, and the simple standard deviation is replaced by the time-varying standard deviation. Based on the latest data from February 21, 2012 to February 21, 2014, based on the latest data from February 21, 2012 to February 21, 2014, the empirical evidence is based on the correlation and smoothness of underlying stocks. From the angle of cointegration and the speed of price difference regression, this paper selects two stocks of Datong coal industry. The traditional statistical arbitrage model and the optimized statistical arbitrage model based on cointegration are established based on the latest trading data of the two shares in Datong Coal Industry in recent years. From the theoretical and empirical analysis, we can see that the statistical arbitrage model based on cointegration is feasible in China's stock market. The application of time-varying standard deviation based on GARCH and moving average model in statistical nested is very effective. They can better capture arbitrage opportunities, improve the efficiency of arbitrage success, reduce arbitrage risk and increase arbitrage returns.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51
本文編號：2179765
[Abstract]:Since the trial of margin trading in China started on March 31, 2010, the scale of margin trading has been greatly improved after 4 years of development. The continuous improvement of short-selling mechanism in China provides favorable conditions for the implementation of statistical arbitrage in our market. The first part of this paper briefly introduces the basic knowledge of margin financing, statistical arbitrage theory and cointegration test method. Finally, the establishment method of statistical arbitrage model based on cointegration theory and the formulation of transaction signal are systematically studied. Aiming at the shortcomings of the traditional statistical arbitrage model, the paper improves the arbitrage model and the transaction signal, and proposes an optimized statistical arbitrage model based on cointegration. The following optimization methods are adopted: the delayed opening strategy and the early closing strategy process the price difference sequence of the transaction combination with GARCH model, and the simple standard deviation is replaced by the time-varying standard deviation. Based on the latest data from February 21, 2012 to February 21, 2014, based on the latest data from February 21, 2012 to February 21, 2014, the empirical evidence is based on the correlation and smoothness of underlying stocks. From the angle of cointegration and the speed of price difference regression, this paper selects two stocks of Datong coal industry. The traditional statistical arbitrage model and the optimized statistical arbitrage model based on cointegration are established based on the latest trading data of the two shares in Datong Coal Industry in recent years. From the theoretical and empirical analysis, we can see that the statistical arbitrage model based on cointegration is feasible in China's stock market. The application of time-varying standard deviation based on GARCH and moving average model in statistical nested is very effective. They can better capture arbitrage opportunities, improve the efficiency of arbitrage success, reduce arbitrage risk and increase arbitrage returns.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51
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