本文選題：統(tǒng)計(jì)套利 + 協(xié)整　； 參考：《南京大學(xué)》2014年碩士論文

【摘要】：統(tǒng)計(jì)套利是一種依賴市場(chǎng)做空機(jī)制,基于統(tǒng)計(jì)模型的量化投資策略。中國(guó)于2010年3月31日正式開展融資融券業(yè)務(wù)為實(shí)現(xiàn)統(tǒng)計(jì)套利提供了可能性。統(tǒng)計(jì)套利在國(guó)外資本市場(chǎng)已經(jīng)是成熟的方法,成為了機(jī)構(gòu)投資者的常用策略。國(guó)內(nèi)已經(jīng)有文獻(xiàn)證明可以在中國(guó)股票市場(chǎng)實(shí)現(xiàn)統(tǒng)計(jì)套利。關(guān)于金融時(shí)間序列波動(dòng)率模型目前主要有兩大類：ARCH模型及其擴(kuò)展和SV模型及其擴(kuò)展。關(guān)于SV模型在統(tǒng)計(jì)套利的研究不是很多,本文旨在用實(shí)證數(shù)據(jù)檢驗(yàn)GARCH模型和SV模型是否能中國(guó)股票市場(chǎng)實(shí)現(xiàn)統(tǒng)計(jì)套利,并比較GARCH模型和SV模型的模擬效果以及實(shí)際盈利能力。本文基于協(xié)整理論采用配對(duì)交易策略,本文用簡(jiǎn)單標(biāo)準(zhǔn)差、時(shí)變標(biāo)準(zhǔn)差確定交易信號(hào)和止損信號(hào)。其中時(shí)變標(biāo)準(zhǔn)差采用GARCH模型和SV模型進(jìn)行模擬,以比較GARCH模型和SV模型對(duì)金融時(shí)間序列的刻畫能力。本文收集滬深兩市銀行板塊可進(jìn)行融資融券業(yè)務(wù)的股票進(jìn)行實(shí)證分析,檢驗(yàn)?zāi)Ｐ蛿M合效果以及統(tǒng)計(jì)套利策略在中國(guó)股市的實(shí)際盈利能力。實(shí)證結(jié)果顯示,三種方法都獲得了穩(wěn)定的收益,并且SV模型對(duì)時(shí)變標(biāo)準(zhǔn)差的擬合效果要優(yōu)于GARCH模型。
[Abstract]:Statistical arbitrage is a quantitative investment strategy based on statistical model. China officially launched margin financing on March 31, 2010, which provides the possibility for the realization of statistical arbitrage. Statistical arbitrage is a mature method in foreign capital markets and has become a common strategy for institutional investors. Domestic literature has proved that the Chinese stock market can achieve statistical arbitrage. There are two kinds of financial time series volatility models: arch model and SV model. There are not many researches on SV model in statistical arbitrage. This paper uses empirical data to test whether GARCH model and SV model can realize statistical arbitrage in Chinese stock market, and compares the simulation effect and actual profitability of GARCH model and SV model. In this paper, based on the co-arrangement theory, the paired trading strategy is used. In this paper, simple standard deviation and time-varying standard deviation are used to determine the transaction signal and stop loss signal. The time-varying standard deviation is simulated by GARCH model and SV model to compare the ability of GARCH model and SV model to describe financial time series. In this paper, we collect the stocks in Shanghai and Shenzhen stock markets that can carry out margin trading, test the effect of model fitting and the actual profitability of statistical arbitrage strategy in Chinese stock market. The empirical results show that the three methods obtain stable returns and the SV model is better than the GARCH model in fitting the time-varying standard deviation.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 楊光兵;;有效市場(chǎng)假說的爭(zhēng)論與發(fā)展[J];科學(xué)決策;2010年10期

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本文編號(hào)：1808612