基于協(xié)整的配對交易改進研究
發(fā)布時間：2018-07-17 19:30
【摘要】：我國滬深交易所在2010年3月開始推行融資融券交易試點,同年4月推出股指期貨。這從根本上改變了以往我國股市投資者只能單邊做多的局面,能夠提高我國股市資金配置效率。兩融業(yè)務(wù)的實施也使投資者能夠?qū)嵤└嗟牧炕顿Y策略,從而更好地回避風(fēng)險,提高收益�；诮y(tǒng)計套利的配對交易策略是一種市場中性策略,通過識別配對股票價格的相對偏離,利用融資融券,做空相對高估的股票,做多相對低估的股票,并在兩只股票價格差距回復(fù)至正常水平時進行平倉從而實現(xiàn)盈利。由于配對交易策略并不基于單只股票的漲跌,而是基于兩只配對股票價格之間的相對差距,因此該策略能夠平復(fù)市場風(fēng)險,橫跨牛、熊市實現(xiàn)穩(wěn)定的套利。本文旨在驗證配對交易對于中國股市的適用性,同時對常用的基于協(xié)整的配對交易步驟進行一定的改進,為國內(nèi)投資者進行量化投資時提供一定的參考。本文首先回顧了之前學(xué)者們的研究成果,敘述國內(nèi)外的研究現(xiàn)狀和近年研究的方向。通過對近年國內(nèi)相關(guān)文獻的閱讀,發(fā)現(xiàn)直接套用國外文獻中將0.75倍標準差作為開倉閾值,2倍標準差作為止損閾值的做法可能并不適合國內(nèi)的狀況。然后本文論述了配對交易的分類、概念、常用的配對交易方法以及與之相關(guān)的數(shù)學(xué)模型。在介紹配對交易的常用方法時重點介紹了基于協(xié)整的配對交易方法具體過程。在此基礎(chǔ)上,本文選取萬德行業(yè)分類中的銀行板塊和地產(chǎn)經(jīng)營類板塊進行進一步實證分析。實證部分的數(shù)據(jù)被分為了樣本內(nèi)和樣本外兩個部分。2010年至2014年所有交易日數(shù)據(jù)作為樣本內(nèi)數(shù)據(jù)用于驗證開倉閾值和止損閾值設(shè)置的合理性,取得適合于所選取股票對的最優(yōu)開倉閾值和止損閾值的組合。2015年的所有交易日數(shù)據(jù)作為樣本外數(shù)據(jù),用以驗證所選取的開倉閾值和止損閾值的有效性。在實證部分本文通過比較各板塊內(nèi)股票之間的相關(guān)系數(shù)來選取用于配對交易實證的股票對,對相關(guān)系數(shù)最高并通過協(xié)整檢驗的股票對建立誤差修正模型,用于分析基于常數(shù)方差和基于GARCH模型的條件異方差兩種情形下開倉閾值和止損閾值設(shè)置的合理性,并計算最優(yōu)閾值下的收益情況。在實證部分選出了交通銀行和寧波銀行、云南城投和嘉凱城這兩對組合作為配對股票對進行模擬實證交易。樣本內(nèi)實證結(jié)果表明傳統(tǒng)的將常數(shù)(條件)標準差的0.75倍設(shè)置為開倉線,將常數(shù)(條件)標準差的2倍設(shè)置為止損線并不合理,開倉線與止損線的設(shè)置與配對股票有關(guān),同時也與所選擇的模型有關(guān),通過對每組配對交易股票對計算最優(yōu)閾值進而進行套利能夠?qū)崿F(xiàn)更高的收益。樣本外的實證同樣驗證了通過上述方法所選擇的開倉閾值和止損閾值組合不論是基于常數(shù)方差還是條件方差,即使是行情波動極為激烈的2015年,也能實現(xiàn)可觀的收益,但是基于條件方差的配對交易并不一定能比基于常數(shù)方差的配對交易取得更高的收益。實證部分所得收益在兩組股票對之間相差十分巨大,推測這樣的結(jié)果可能與股票的價格波動劇烈程度有關(guān);同時樣本外實證部分所得收益也明顯優(yōu)于樣本內(nèi)所得的最優(yōu)收益率,推測這可能與研究所選取的時間段有關(guān)。在本文的最后,還提出了一些研究中的不足,如沒有驗證所選時間段的合理性,沒有證明止損閾值設(shè)置的必要性等。
[Abstract]:The Shanghai and Shenzhen Stock Exchange launched the pilot of margin trading in March 2010. The stock index futures were introduced in April of the same year. This fundamentally changed the situation that the investors in our stock market can only have a single side and can improve the efficiency of capital allocation in China's stock market. The implementation of the two thawing business also enables investors to implement more quantitative investment strategies. In order to better avoid risk and raise income, the paired trading strategy based on statistical arbitrage is a market neutral strategy. By identifying the relative deviation of the stock price, using margin trading, making short relatively overvalued stock, making a relatively undervalued stock, and holding a warehouse in two stock prices when the price gap is back to the normal level. The strategy is based on the relative gap between the two pairs of stock prices, which is based on the relative gap between the two pairs of stock prices, so the strategy can restore the market risk, cross the bull and bear market to achieve a stable arbitrage. The whole process of paired transaction is improved to provide some reference for domestic investors to quantify investment. This paper first reviews the research results of previous scholars, and describes the current research status at home and abroad and the direction of research in recent years. Through the reading of relevant domestic literature in recent years, it is found that 0.75 of the foreign literature will be directly applied. The double standard deviation as the opening threshold, the 2 times the standard deviation as the stop threshold may not be suitable for the domestic situation. Then this paper discusses the classification of the paired transactions, the concept, the common paired transaction methods and the related mathematical models. In the introduction of the common method of paired transaction, the cointegration based pairing transaction is introduced. On this basis, this paper makes a further empirical analysis of the bank plate and the real estate sector in the wad industry classification. The data of the empirical part are divided into two parts of the sample and out of samples from.2010 to 2014 as the sample data to verify the opening threshold and the stop threshold. The reasonableness of the value setting, the data of all trading days that fit the optimal opening threshold and the stop loss threshold of the selected stock for.2015 years as the sample data, to verify the validity of the selected opening threshold and the stop loss threshold. In the empirical part, this paper compares the correlation coefficient between the shares in each plate to select the correlation coefficient. The stock pair for the positive paired transaction is used to establish an error correction model for the stock with the highest correlation coefficient and through cointegration test. It is used to analyze the rationality of the opening threshold and the stop threshold setting in two cases of conditional heteroscedasticity based on constant variance and GARCH model, and calculate the income under the optimal threshold. The two combinations of the Bank of communications and Ningbo, the Yunnan city investment and the Jia Kai City are selected as the paired stock pairs. The empirical results show that the traditional constant (conditional) standard deviation is 0.75 times as the opening line, and the loss line is not reasonable until the 2 times the standard deviation of the constant (condition), the opening line and the stop loss. The setting of a line is related to the paired stock, and it is related to the chosen model. By calculating the optimal threshold to arbitrage each group of paired trading stocks, a higher return can be achieved. The empirical results also verify that the opening threshold and the stop threshold combination selected by the above method are based on the constant variance. It is a conditional variance, even if the volatility of the market is extremely intense in 2015, it can also achieve considerable profits, but the conditional variance based pair trading does not necessarily achieve higher returns than the pair based on constant variance. The income of the empirical part is very large between the two groups of stock pairs. At the same time, the income from the empirical part of the sample is also obviously superior to the optimal rate of return from the sample. It is presumed that this may be related to the time period selected by the study. At the end of this paper, some deficiencies in the study are put forward, such as no verification of the reasonableness of the selected time period and no proof of the stop loss. The necessity of setting the threshold and so on.
【學(xué)位授予單位】：浙江財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51
本文編號：2130699
[Abstract]:The Shanghai and Shenzhen Stock Exchange launched the pilot of margin trading in March 2010. The stock index futures were introduced in April of the same year. This fundamentally changed the situation that the investors in our stock market can only have a single side and can improve the efficiency of capital allocation in China's stock market. The implementation of the two thawing business also enables investors to implement more quantitative investment strategies. In order to better avoid risk and raise income, the paired trading strategy based on statistical arbitrage is a market neutral strategy. By identifying the relative deviation of the stock price, using margin trading, making short relatively overvalued stock, making a relatively undervalued stock, and holding a warehouse in two stock prices when the price gap is back to the normal level. The strategy is based on the relative gap between the two pairs of stock prices, which is based on the relative gap between the two pairs of stock prices, so the strategy can restore the market risk, cross the bull and bear market to achieve a stable arbitrage. The whole process of paired transaction is improved to provide some reference for domestic investors to quantify investment. This paper first reviews the research results of previous scholars, and describes the current research status at home and abroad and the direction of research in recent years. Through the reading of relevant domestic literature in recent years, it is found that 0.75 of the foreign literature will be directly applied. The double standard deviation as the opening threshold, the 2 times the standard deviation as the stop threshold may not be suitable for the domestic situation. Then this paper discusses the classification of the paired transactions, the concept, the common paired transaction methods and the related mathematical models. In the introduction of the common method of paired transaction, the cointegration based pairing transaction is introduced. On this basis, this paper makes a further empirical analysis of the bank plate and the real estate sector in the wad industry classification. The data of the empirical part are divided into two parts of the sample and out of samples from.2010 to 2014 as the sample data to verify the opening threshold and the stop threshold. The reasonableness of the value setting, the data of all trading days that fit the optimal opening threshold and the stop loss threshold of the selected stock for.2015 years as the sample data, to verify the validity of the selected opening threshold and the stop loss threshold. In the empirical part, this paper compares the correlation coefficient between the shares in each plate to select the correlation coefficient. The stock pair for the positive paired transaction is used to establish an error correction model for the stock with the highest correlation coefficient and through cointegration test. It is used to analyze the rationality of the opening threshold and the stop threshold setting in two cases of conditional heteroscedasticity based on constant variance and GARCH model, and calculate the income under the optimal threshold. The two combinations of the Bank of communications and Ningbo, the Yunnan city investment and the Jia Kai City are selected as the paired stock pairs. The empirical results show that the traditional constant (conditional) standard deviation is 0.75 times as the opening line, and the loss line is not reasonable until the 2 times the standard deviation of the constant (condition), the opening line and the stop loss. The setting of a line is related to the paired stock, and it is related to the chosen model. By calculating the optimal threshold to arbitrage each group of paired trading stocks, a higher return can be achieved. The empirical results also verify that the opening threshold and the stop threshold combination selected by the above method are based on the constant variance. It is a conditional variance, even if the volatility of the market is extremely intense in 2015, it can also achieve considerable profits, but the conditional variance based pair trading does not necessarily achieve higher returns than the pair based on constant variance. The income of the empirical part is very large between the two groups of stock pairs. At the same time, the income from the empirical part of the sample is also obviously superior to the optimal rate of return from the sample. It is presumed that this may be related to the time period selected by the study. At the end of this paper, some deficiencies in the study are put forward, such as no verification of the reasonableness of the selected time period and no proof of the stop loss. The necessity of setting the threshold and so on.
【學(xué)位授予單位】：浙江財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51
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