本文關(guān)鍵詞：基于配對交易的統(tǒng)計套利策略研究　出處：《東華大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 配對交易 統(tǒng)計套利 融資融券 時間參數(shù) 交易期

【摘要】：配對交易在國外證券市場是一種被廣泛運用的統(tǒng)計套利投資策略。它通過構(gòu)建股票配對的多空頭寸,賺取股票價差收斂的收益。配對交易策略的一個顯著的優(yōu)點在于通過對沖機(jī)制有效規(guī)避了投資的系統(tǒng)性風(fēng)險,即使在市場整體下行的時間段里,配對交易仍然能夠獲得比較穩(wěn)定的收益。國外對配對交易策略研究的內(nèi)容大致集中在兩個方面,第一是研究如何挑選出性質(zhì)良好的配對以及相關(guān)的交易模型,第二是如何制定最優(yōu)的交易策略使得交易的效用函數(shù)最大化。在國內(nèi),自2010年3月起,我國證券市場相繼開展了融資融券業(yè)務(wù),自此,才有了對股票的做空機(jī)制,才有了配對交易的可能。因此,國內(nèi)對配對交易的研究還較少,已有的研究大多基于2010年前的模擬數(shù)據(jù)研究配對交易在國內(nèi)的可行性�？偨Y(jié)已有的研究,之前的學(xué)者在實證中對待時間參數(shù)的設(shè)置問題并不重視,研究時間參數(shù)對配對交易策略影響的并不多見。究竟配對交易形成期和交易期長度的設(shè)定是否會影響配對交易的收益,如何合理的設(shè)定配對交易的交易期長度是一個有待研究的問題。 本文使用2009年到2013年滬深300成分股作為實證對象,采用最小距離法進(jìn)行配對交易實證檢驗。并通過調(diào)整不同的配對形成期與交易期的時間長度,研究配對交易的時間參數(shù)的設(shè)置對配對交易的收益是否能夠造成影響。通過將配對交易的形成期和交易期長度分別設(shè)置為1個月到12個月共進(jìn)行了144次不同的組合實驗,發(fā)現(xiàn)不同的時間參數(shù)組合對配對交易的收益具有一定的影響。 之后本文提出一種如何動態(tài)設(shè)定交易期長度的方法。利用Ornstein-Uhlenbeck過程的首次穿越時間理論構(gòu)造了一個描述配對交易交易期長度的模型。該模型將配對交易的交易期分為空倉期和持倉期兩個階段。兩個時間階段的長度是分別可以用首次穿越時間理論描述的隨機(jī)變量。通過計算這兩個隨機(jī)變量和的分布,我們得到完成一次交易所需時間的分布。根據(jù)這一分布本文提出了將配對交易交易期時間長度設(shè)定為以較大概率完成一次交易所需時間的策略。 時間參數(shù)作為配對交易模型的重要部分,還有待深入的研究。只有當(dāng)交易策略的時間參數(shù)和交易參數(shù)都達(dá)到最優(yōu)時,交易模型才能獲取最大的回報。
[Abstract]:Pairing trading is a widely used statistical arbitrage investment strategy in foreign securities markets. A significant advantage of matching trading strategies is that they effectively hedge against systemic risk, even during a period of downturns in the market as a whole. The content of foreign research on pairing trading strategy is focused on two aspects. The first is how to select good matching and related transaction models. The second is how to make the optimal trading strategy to maximize the utility function of the transaction. In China, since March 2010, the securities market has launched margin financing business since then. Only with the short selling mechanism of the stock, there is the possibility of paired trading. Therefore, there is less research on the matching transaction in China. Most of the existing studies are based on the simulation data before 2010 to study the feasibility of matching transactions in China. Summarizing the existing research, previous scholars pay little attention to the setting of time parameters in the empirical. It is rare to study the effect of time parameters on the paired trading strategy. Whether the setting of the forming date and the length of the paired transaction will affect the earnings of the paired transaction is rare. How to set the length of the transaction period is a problem to be studied. This article uses the Shanghai and Shenzhen 300 constituent stock from 2009 to 2013 as the empirical object. Using the method of minimum distance to carry out the empirical test of pairing transaction, and by adjusting the time length of different pairing forming period and trading period. To study whether the setting of time parameters for paired transactions has an impact on the earnings of the paired transactions. 144 times were performed by setting the formation date and the length of the trading period of the paired transaction to 1 month to 12 months, respectively. The same combination experiment. It is found that different combinations of time parameters have a certain effect on the earnings of paired transactions. Then this paper presents a method to dynamically set the length of the transaction period. Using the first traversal time theory of the Ornstein-Uhlenbeck process, we construct a method to describe the length of the paired transaction period. This model divides the transaction period of a pair of transactions into two stages: the short period and the position period. The length of the two time stages is a random variable which can be described by the theory of first pass time respectively. The distribution of the sum of machine variables. According to the distribution of the time required to complete a transaction, this paper proposes a strategy to set the length of the trading period of a paired transaction to the time required to complete a single transaction with a high probability. As an important part of the paired trading model, the time parameter needs to be studied deeply. Only when the time parameter and the transaction parameter of the trading strategy reach the optimum, can the transaction model obtain the maximum return.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F830.91;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 王春峰;林碧波;朱琳;;基于股票價格差異的配對交易策略[J];北京理工大學(xué)學(xué)報(社會科學(xué)版);2013年01期

2 張連華;;基于高頻數(shù)據(jù)的股指期貨期現(xiàn)統(tǒng)計套利程序交易[J];計算機(jī)應(yīng)用與軟件;2011年09期

3 陳怡;;統(tǒng)計套利策略在我國分級基金市場的嘗試[J];科學(xué)技術(shù)與工程;2012年03期

4 楊頂;;我國推出融資融券業(yè)務(wù)的相關(guān)問題研究[J];吉林金融研究;2011年03期

5 高翔;謝昌斌;;我國證券信用交易研究綜述[J];武漢金融;2008年07期

6 馮玉成;;國內(nèi)證券信用交易制度探討[J];中國流通經(jīng)濟(jì);2006年05期

，

本文編號：1437971