本文關鍵詞： 協(xié)整 統(tǒng)計套利 甲醇 聚丙烯 跨品種套利　出處：《對外經(jīng)濟貿(mào)易大學》2017年碩士論文　論文類型：學位論文

【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,這會導致投資結果的主觀性過強、收益穩(wěn)定性較差。如果投資者以單邊投資作為主要策略,則會承擔較大的行情波動風險;如果投資者以經(jīng)驗套利作為主要策略,也難以避免其中存在的主觀因素。假設存在某種獨立于市場本身的投資方式,能夠使投資者客觀地判斷市場并據(jù)此做出合理的交易,獲得穩(wěn)定、可靠、且不取決于市場趨勢的低風險收益,那這種投資方式一定能夠受到市場參與者的廣泛關注。利用統(tǒng)計學工具對一組金融產(chǎn)品進行研判與分析,進而得出的某些套利策略恰恰能夠符合市場中性的特征。這類投資策略統(tǒng)稱為統(tǒng)計套利策略。通過對沖大部分的市場風險,統(tǒng)計套利策略可以組合出獨立于市場行情的走勢,從而獲得穩(wěn)定的收益率。目前,基于協(xié)整的統(tǒng)計套利策略日趨成熟并廣泛應用于國內(nèi)外的學界、商界。通過詳細介紹基于協(xié)整的統(tǒng)計套利策略的原理、定位、方法、步驟等理論,并在此基礎上對基于協(xié)整的甲醇期貨與聚丙烯期貨的跨品種套利方案展開實證研究,幫助廣大投資者深刻理解統(tǒng)計套利策略的主要內(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、確定對沖比率、交易信號設置、交易結果評測等多個方面詳細介紹了實施統(tǒng)計套利策略的具體環(huán)節(jié),并就套利組合的相關性、流動性、平穩(wěn)性和協(xié)整關系四個方面著重做出了介紹。在本文的實證研究部分,以甲醇期貨與聚丙烯期貨為例展示了統(tǒng)計套利策略的分析、檢驗、設計和評測的多個環(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.
【學位授予單位】：對外經(jīng)濟貿(mào)易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F724.5;F767

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本文編號：1445956