本文關(guān)鍵詞：基于配對(duì)交易的統(tǒng)計(jì)套利策略研究　出處：《東華大學(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(duì)交易 統(tǒng)計(jì)套利 融資融券 時(shí)間參數(shù) 交易期

【摘要】：配對(duì)交易在國(guó)外證券市場(chǎng)是一種被廣泛運(yùn)用的統(tǒng)計(jì)套利投資策略。它通過構(gòu)建股票配對(duì)的多空頭寸,賺取股票價(jià)差收斂的收益。配對(duì)交易策略的一個(gè)顯著的優(yōu)點(diǎn)在于通過對(duì)沖機(jī)制有效規(guī)避了投資的系統(tǒng)性風(fēng)險(xiǎn),即使在市場(chǎng)整體下行的時(shí)間段里,配對(duì)交易仍然能夠獲得比較穩(wěn)定的收益。國(guó)外對(duì)配對(duì)交易策略研究的內(nèi)容大致集中在兩個(gè)方面,第一是研究如何挑選出性質(zhì)良好的配對(duì)以及相關(guān)的交易模型,第二是如何制定最優(yōu)的交易策略使得交易的效用函數(shù)最大化。在國(guó)內(nèi),自2010年3月起,我國(guó)證券市場(chǎng)相繼開展了融資融券業(yè)務(wù),自此,才有了對(duì)股票的做空機(jī)制,才有了配對(duì)交易的可能。因此,國(guó)內(nèi)對(duì)配對(duì)交易的研究還較少,已有的研究大多基于2010年前的模擬數(shù)據(jù)研究配對(duì)交易在國(guó)內(nèi)的可行性。總結(jié)已有的研究,之前的學(xué)者在實(shí)證中對(duì)待時(shí)間參數(shù)的設(shè)置問題并不重視,研究時(shí)間參數(shù)對(duì)配對(duì)交易策略影響的并不多見。究竟配對(duì)交易形成期和交易期長(zhǎng)度的設(shè)定是否會(huì)影響配對(duì)交易的收益,如何合理的設(shè)定配對(duì)交易的交易期長(zhǎng)度是一個(gè)有待研究的問題。 本文使用2009年到2013年滬深300成分股作為實(shí)證對(duì)象,采用最小距離法進(jìn)行配對(duì)交易實(shí)證檢驗(yàn)。并通過調(diào)整不同的配對(duì)形成期與交易期的時(shí)間長(zhǎng)度,研究配對(duì)交易的時(shí)間參數(shù)的設(shè)置對(duì)配對(duì)交易的收益是否能夠造成影響。通過將配對(duì)交易的形成期和交易期長(zhǎng)度分別設(shè)置為1個(gè)月到12個(gè)月共進(jìn)行了144次不同的組合實(shí)驗(yàn),發(fā)現(xiàn)不同的時(shí)間參數(shù)組合對(duì)配對(duì)交易的收益具有一定的影響。 之后本文提出一種如何動(dòng)態(tài)設(shè)定交易期長(zhǎng)度的方法。利用Ornstein-Uhlenbeck過程的首次穿越時(shí)間理論構(gòu)造了一個(gè)描述配對(duì)交易交易期長(zhǎng)度的模型。該模型將配對(duì)交易的交易期分為空倉(cāng)期和持倉(cāng)期兩個(gè)階段。兩個(gè)時(shí)間階段的長(zhǎng)度是分別可以用首次穿越時(shí)間理論描述的隨機(jī)變量。通過計(jì)算這兩個(gè)隨機(jī)變量和的分布,我們得到完成一次交易所需時(shí)間的分布。根據(jù)這一分布本文提出了將配對(duì)交易交易期時(shí)間長(zhǎng)度設(shè)定為以較大概率完成一次交易所需時(shí)間的策略。 時(shí)間參數(shù)作為配對(duì)交易模型的重要部分,還有待深入的研究。只有當(dāng)交易策略的時(shí)間參數(shù)和交易參數(shù)都達(dá)到最優(yōu)時(shí),交易模型才能獲取最大的回報(bào)。
[Abstract]:Pairing trading is a widely used statistical arbitrage investment strategy in foreign securities markets. A significant advantage of matching trading strategies is that they effectively hedge against systemic risk, even during a period of downturns in the market as a whole. The content of foreign research on pairing trading strategy is focused on two aspects. The first is how to select good matching and related transaction models. The second is how to make the optimal trading strategy to maximize the utility function of the transaction. In China, since March 2010, the securities market has launched margin financing business since then. Only with the short selling mechanism of the stock, there is the possibility of paired trading. Therefore, there is less research on the matching transaction in China. Most of the existing studies are based on the simulation data before 2010 to study the feasibility of matching transactions in China. Summarizing the existing research, previous scholars pay little attention to the setting of time parameters in the empirical. It is rare to study the effect of time parameters on the paired trading strategy. Whether the setting of the forming date and the length of the paired transaction will affect the earnings of the paired transaction is rare. How to set the length of the transaction period is a problem to be studied. This article uses the Shanghai and Shenzhen 300 constituent stock from 2009 to 2013 as the empirical object. Using the method of minimum distance to carry out the empirical test of pairing transaction, and by adjusting the time length of different pairing forming period and trading period. To study whether the setting of time parameters for paired transactions has an impact on the earnings of the paired transactions. 144 times were performed by setting the formation date and the length of the trading period of the paired transaction to 1 month to 12 months, respectively. The same combination experiment. It is found that different combinations of time parameters have a certain effect on the earnings of paired transactions. Then this paper presents a method to dynamically set the length of the transaction period. Using the first traversal time theory of the Ornstein-Uhlenbeck process, we construct a method to describe the length of the paired transaction period. This model divides the transaction period of a pair of transactions into two stages: the short period and the position period. The length of the two time stages is a random variable which can be described by the theory of first pass time respectively. The distribution of the sum of machine variables. According to the distribution of the time required to complete a transaction, this paper proposes a strategy to set the length of the trading period of a paired transaction to the time required to complete a single transaction with a high probability. As an important part of the paired trading model, the time parameter needs to be studied deeply. Only when the time parameter and the transaction parameter of the trading strategy reach the optimum, can the transaction model obtain the maximum return.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.91;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 王春峰;林碧波;朱琳;;基于股票價(jià)格差異的配對(duì)交易策略[J];北京理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2013年01期

2 張連華;;基于高頻數(shù)據(jù)的股指期貨期現(xiàn)統(tǒng)計(jì)套利程序交易[J];計(jì)算機(jī)應(yīng)用與軟件;2011年09期

3 陳怡;;統(tǒng)計(jì)套利策略在我國(guó)分級(jí)基金市場(chǎng)的嘗試[J];科學(xué)技術(shù)與工程;2012年03期

4 楊頂;;我國(guó)推出融資融券業(yè)務(wù)的相關(guān)問題研究[J];吉林金融研究;2011年03期

5 高翔;謝昌斌;;我國(guó)證券信用交易研究綜述[J];武漢金融;2008年07期

6 馮玉成;;國(guó)內(nèi)證券信用交易制度探討[J];中國(guó)流通經(jīng)濟(jì);2006年05期

，

本文編號(hào)：1437971