本文選題：統(tǒng)計套利　切入點：銀行類股票　出處：《河北經(jīng)貿(mào)大學》2014年碩士論文

【摘要】：本文在收集銀行類股票2012年7月2日至2013年7月31日五分鐘高頻交易數(shù)據(jù)的基礎(chǔ)上，結(jié)合融資融券交易數(shù)據(jù)對銀行股的統(tǒng)計套利情況進行了深入研究。首先通過研究期間的交易數(shù)據(jù)及融資融券數(shù)據(jù)探討了統(tǒng)計套利交易的可能性。然后計算銀行類股票間的相關(guān)系數(shù)，初步選定統(tǒng)計套利組合，建立協(xié)整模型。應用方差比法確定交易信號，對選定的套利組合進行交易分析。根據(jù)統(tǒng)計套利相關(guān)結(jié)果及融券交易情況，應用熵值法對各個統(tǒng)計套利組合進行綜合評價。最后根據(jù)評價結(jié)果，給予投資者相應的投資建議。 通過對銀行類股的統(tǒng)計套利情況進行研究得出：融資融券交易自開展以后取得了很大的發(fā)展，但融券交易的交易量相對于融資交易還很小，統(tǒng)計套利實施的空間比較��；對銀行類股實施統(tǒng)計套利能夠使投資者獲得超過市場的利潤；在所選定的統(tǒng)計套利組合中，興業(yè)銀行和浦發(fā)銀行的統(tǒng)計套利組合取得了最好的綜合得分，值得投資進行關(guān)注
[Abstract]:On the basis of collecting five minute high frequency trading data from July 2, 2012 to July 31, 2013, this paper makes an in-depth study on the statistical arbitrage situation of bank stocks based on the data of margin trading.Firstly, the paper discusses the possibility of statistical arbitrage trading through trading data and margin data.Then the correlation coefficient between bank stocks is calculated and the statistical arbitrage portfolio is preliminarily selected to establish a cointegration model.The transaction signal is determined by variance ratio method, and the selected arbitrage combination is analyzed.According to the results of statistical arbitrage and margin trading, the entropy method is applied to the comprehensive evaluation of statistical arbitrage combinations.Finally, according to the evaluation results, give investors corresponding investment advice.Through the research on the statistical arbitrage of bank stocks, it is concluded that: the margin trading has made great progress since it was carried out, but the trading volume of margin trading is relatively small compared with the financing transaction, and the space for the implementation of statistical arbitrage is relatively small;The implementation of statistical arbitrage on bank stocks can enable investors to gain more profits than the market. In the selected statistical arbitrage portfolio, the statistical arbitrage portfolio of Industrial Bank and Pudong Development Bank has achieved the best comprehensive score, which deserves investment attention.
【學位授予單位】：河北經(jīng)貿(mào)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.51

【引證文獻】

相關(guān)期刊論文 前2條

1 楊倩詩;;基于協(xié)整模型的統(tǒng)計套利策略研究[J];湖南理工學院學報(自然科學版);2015年03期

2 譚依妮;;概率圖模型在股票套利中的應用[J];統(tǒng)計與決策;2015年16期

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本文編號：1715009