本文關(guān)鍵詞：統(tǒng)計(jì)套利策略在我國(guó)股票市場(chǎng)的實(shí)證分析　出處：《哈爾濱工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 統(tǒng)計(jì)套利 配對(duì)交易 協(xié)整理論 GARCH模型 O-U過(guò)程

【摘要】：2010年3月31日我國(guó)股票市場(chǎng)在醞釀多年之后終于正式推出了融資融券交易制度。這使得我國(guó)股票市場(chǎng)徹底告別了單邊交易的時(shí)代，也為廣大股票投資者引入了做空機(jī)制。在我國(guó)股票市場(chǎng)不斷完善的同時(shí)，同西方發(fā)達(dá)國(guó)家的股票市場(chǎng)的差距正在縮小，我國(guó)股票市場(chǎng)將會(huì)越來(lái)越多地借鑒和引入西方成熟的投資策略，使得我國(guó)股票市場(chǎng)進(jìn)入更高效的時(shí)代。在眾多紛繁復(fù)雜的投資策略中，本文就統(tǒng)計(jì)套利策略展開了研究。 統(tǒng)計(jì)套利策略的核心思想在于配對(duì)股票的建立。在完全脫離經(jīng)濟(jì)含義的前提下，只有合理的應(yīng)用量化的手段來(lái)架構(gòu)投資組合，才能夠進(jìn)一步免疫系統(tǒng)性的風(fēng)險(xiǎn)，進(jìn)而可以獲取到超額的收益，，而該收益沒(méi)有或者存在較低的風(fēng)險(xiǎn)。配對(duì)交易的方式主要依托的核心理念是均值回復(fù)，可以將其定義為市場(chǎng)中性策略。兩只股票彼此之間有一定的聯(lián)系，可以維持在一定的趨勢(shì)范圍內(nèi)。如果某一時(shí)刻受到某一因素的影響而使得兩只股票之間的聯(lián)系性出現(xiàn)了偏差，那么就出現(xiàn)了套利機(jī)會(huì)。 本文將證監(jiān)會(huì)規(guī)定的“融資融券”500只標(biāo)的股作為股票池，求出兩兩的相關(guān)系數(shù)，選取相關(guān)系數(shù)最大的兩只股票-鞍鋼股份和武鋼股份作為套利股票對(duì)。然后驗(yàn)證其存在協(xié)整關(guān)系，分別用固定參數(shù)法、GARCH模型法和Ornstein-Uhlenbeck過(guò)程法計(jì)算樣本內(nèi)收益率。經(jīng)過(guò)對(duì)比期內(nèi)累計(jì)收益率的結(jié)果，固定參數(shù)法收益最高，GARCH模型和Ornstein-Uhlenbeck過(guò)程法次之。
[Abstract]:China's stock market in March 31, 2010 after years of deliberation finally officially launched the margin trading system. This makes China's stock market to bid farewell to the era of unilateral trade, also introduces short mechanism for the majority of the stock investors. Continuous improvement in our stock market. At the same time, with the western developed countries, the stock market is narrowing the gap will be more and more, China's stock market reference and the introduction of western mature investment strategy, so the stock market of our country into a more efficient era. In many complex investment strategies, based on the statistical arbitrage strategy is studied.
The core idea of statistical arbitrage strategy is established. In the premise of pairing stock completely out of economic meaning, only the application of reasonable quantitative means to construct the portfolio, to the risk of further immune system, and then you can get to the excess income, and the income not or low risk. The core idea of pairing the transaction mode is primarily based on the mean reversion, which can be defined as the market neutral strategy. There is some relationship between the two shares of each other, can maintain a certain trend range. If a moment is influenced by certain factors and makes the connection between the two stocks appear deviation, then appeared arbitrage the opportunity.
The provisions of the Commission "margin" as 500 shares of the underlying stock pool, calculate the correlation coefficient of 22, select the maximum correlation coefficient of the two stocks - Angang Steel and Wuhan Iron and Steel shares as arbitrage in stock. Then verify the existence of cointegration relationship, respectively with fixed parameter method, calculate the rate of return in sample GARCH model method and Ornstein-Uhlenbeck method. After comparing the process period cumulative yield results, fixed parameter method yields the highest, GARCH model and Ornstein-Uhlenbeck process method.

【學(xué)位授予單位】：哈爾濱工業(yè)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;F224

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