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  本文選題：對沖交易　切入點：配對交易　出處：《哈爾濱工業(yè)大學》2013年碩士論文

【摘要】：近年來對沖交易風靡全球，使用此策略對沖股票交易過程中的風險是各大券商、銀行所推崇的方法。其中配對交易是對沖交易的一種重要方式。即利用兩個走勢相似的股票其價差序列短暫偏離均值時獲取套利。在配對交易中如何選擇股票對是整個策略中最為重要的環(huán)節(jié)，比如根據(jù)風險系數(shù)對股票進行分類，根據(jù)行業(yè)對股票進行分類等等。選擇正確的配對股票將決定整個交易的成功或失敗。 本文基于前人的研究，即分別對上下游企業(yè)使用零風險投資策略，其績效不同這一結論，假設在行業(yè)分類的基礎上進一步進行上下游企業(yè)分類時，股票配對收益會比單純的行業(yè)配對收益更高。所以本文基于前人的配對交易經典模型，對上下游配對交易進行測試，以經典的行業(yè)配對為基準。測試出上下游配對交易的可行性以及收益性。 一般來講配對交易分為三個環(huán)節(jié)，股票篩選環(huán)節(jié)，股票配對環(huán)節(jié)，交易信號執(zhí)行環(huán)節(jié)。其中股票對的篩選環(huán)節(jié)對配對交易最終的收益率有著決定性的影響。本文選取相同的配對方式，以及交易模型，來驗證不同的篩選方式即將股票進行上下游分類，以及進行行業(yè)分類進行比較，驗證哪種分類方式更優(yōu)。 本文使用Matlab、Spss、Excel、Eviews對上證一百以及深證一百數(shù)據(jù)進行分析最后驗證了此種配對策略在中國股票市場的是可行的。其成功率，即配對股票盈利的次數(shù)占總交易次數(shù)的比例，也達到了80%以上。綜合來看，按照上下游進行分類的股票配對相對于按照行業(yè)分類的股票配對，其獲得的收益率更高。
[Abstract]:Hedge trading has become a global phenomenon in recent years, and using this strategy to hedge the risks in the trading of stocks is among the major brokerages. The method favoured by banks. Among them, pairing is an important way to hedge trades. Namely, to obtain arbitrage when the spread sequence of two similar stocks deviates from the mean briefly. How to select the stock pair in the paired trading. Is the most important part of the whole strategy, For example, stocks are classified according to risk coefficient, stocks are classified according to industry, and so on. Choosing the right matching stock will determine the success or failure of the whole transaction. This paper is based on the conclusion that zero risk investment strategy is used separately for upstream and downstream enterprises, and its performance is different. This paper assumes that on the basis of industry classification, the upstream and downstream enterprises are classified further. The returns of stock matching will be higher than that of pure industry pairing. So this paper tests the upstream and downstream pairing transactions based on the classical model of pairing trading. Test the feasibility and profitability of upstream and downstream matching transactions based on classic industry pairing. Generally speaking, pairing transactions are divided into three links: stock screening, stock matching. The selection of stock pairs has a decisive effect on the final return rate of the paired transactions. This paper selects the same matching mode and trading model. To verify the different screening methods, that is, stocks are classified upstream and downstream, and industry classification is compared to verify which classification method is better. This paper analyzes the data of Shanghai Stock Exchange 100 and Shenzhen Stock Exchange 100 by using Matlab Spssman Excel Eviews. Finally, it is proved that this matching strategy is feasible in China's stock market, and its success rate, that is, the ratio of the number of times of matching stock earnings to the total number of transactions, is proved to be feasible. Taken together, stocks classified by upstream and downstream have higher returns than those classified by industry.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1683830