本文關(guān)鍵詞： 協(xié)整 統(tǒng)計(jì)套利 甲醇 聚丙烯 跨品種套利　出處：《對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：傳統(tǒng)投資方式的有效性取決于投資者自身的分析能力與交易水平,這會(huì)導(dǎo)致投資結(jié)果的主觀性過(guò)強(qiáng)、收益穩(wěn)定性較差。如果投資者以單邊投資作為主要策略,則會(huì)承擔(dān)較大的行情波動(dòng)風(fēng)險(xiǎn);如果投資者以經(jīng)驗(yàn)套利作為主要策略,也難以避免其中存在的主觀因素。假設(shè)存在某種獨(dú)立于市場(chǎng)本身的投資方式,能夠使投資者客觀地判斷市場(chǎng)并據(jù)此做出合理的交易,獲得穩(wěn)定、可靠、且不取決于市場(chǎng)趨勢(shì)的低風(fēng)險(xiǎn)收益,那這種投資方式一定能夠受到市場(chǎng)參與者的廣泛關(guān)注。利用統(tǒng)計(jì)學(xué)工具對(duì)一組金融產(chǎn)品進(jìn)行研判與分析,進(jìn)而得出的某些套利策略恰恰能夠符合市場(chǎng)中性的特征。這類投資策略統(tǒng)稱為統(tǒng)計(jì)套利策略。通過(guò)對(duì)沖大部分的市場(chǎng)風(fēng)險(xiǎn),統(tǒng)計(jì)套利策略可以組合出獨(dú)立于市場(chǎng)行情的走勢(shì),從而獲得穩(wěn)定的收益率。目前,基于協(xié)整的統(tǒng)計(jì)套利策略日趨成熟并廣泛應(yīng)用于國(guó)內(nèi)外的學(xué)界、商界。通過(guò)詳細(xì)介紹基于協(xié)整的統(tǒng)計(jì)套利策略的原理、定位、方法、步驟等理論,并在此基礎(chǔ)上對(duì)基于協(xié)整的甲醇期貨與聚丙烯期貨的跨品種套利方案展開(kāi)實(shí)證研究,幫助廣大投資者深刻理解統(tǒng)計(jì)套利策略的主要內(nèi)容,提升投資者的研究能力與交易水平。本文從篩選套利組合、確定對(duì)沖比率、交易信號(hào)設(shè)置、交易結(jié)果評(píng)測(cè)等多個(gè)方面詳細(xì)介紹了實(shí)施統(tǒng)計(jì)套利策略的具體環(huán)節(jié),并就套利組合的相關(guān)性、流動(dòng)性、平穩(wěn)性和協(xié)整關(guān)系四個(gè)方面著重做出了介紹。在本文的實(shí)證研究部分,以甲醇期貨與聚丙烯期貨為例展示了統(tǒng)計(jì)套利策略的分析、檢驗(yàn)、設(shè)計(jì)和評(píng)測(cè)的多個(gè)環(huán)節(jié),取得出了較為顯著的研究成果。
[Abstract]:The effectiveness of the traditional investment mode depends on the analysis ability and trading level of the investors themselves, which will lead to the subjectivity of the investment results and the poor stability of the return, if the investors take unilateral investment as the main strategy. Will take on a greater risk of market fluctuations; If investors use empirical arbitrage as the main strategy, it is difficult to avoid the subjective factors. Low risk returns that enable investors to objectively judge the market and make reasonable transactions based on it are stable, reliable, and independent of market trends. This kind of investment must be widely concerned by market participants. Use statistical tools to study and analyze a set of financial products. And then some arbitrage strategies can exactly accord with the characteristics of market neutrality. These investment strategies are collectively referred to as statistical arbitrage strategies by hedging most of the market risks. Statistical arbitrage strategy can combine the trend independent of the market market to obtain a stable rate of return. At present, the cointegration-based statistical arbitrage strategy is becoming more and more mature and widely used in the academic circles at home and abroad. Business sector. By introducing the theory of statistical arbitrage strategy based on cointegration, such as principle, positioning, method, steps and so on. On the basis of this, an empirical study on the cross-variety arbitrage scheme of methanol futures and polypropylene futures based on cointegration is carried out to help investors understand the main content of statistical arbitrage strategy. This paper introduces the implementation of statistical arbitrage strategy in detail from many aspects, such as screening arbitrage combinations, determining hedge ratio, setting up trading signals, evaluating trading results, and so on. The correlation, liquidity, smoothness and cointegration of arbitrage portfolio are introduced in this paper. Taking methanol futures and polypropylene futures as examples, this paper shows the analysis, test, design and evaluation of statistical arbitrage strategy, and obtains remarkable research results.
【學(xué)位授予單位】：對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5;F767

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本文編號(hào)：1445956