本文關(guān)鍵詞：貴金屬量化價差套利中交易策略設(shè)計及軟件實現(xiàn)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 貴金屬 統(tǒng)計套利 交易策略 量化價差套利策略

【摘要】：貴金屬交易,就是以貴重稀有金屬為對象的交易行為。貴金屬交易主要分實物交易和電子盤交易。實物一般在銀行或者金店里直接以現(xiàn)金對實物的形式完成交易買賣；電子交易盤就是像股票、期貨、外匯等理財產(chǎn)品一樣,通過交易平臺的計算機(jī)數(shù)據(jù)來進(jìn)行的交易。目前,國內(nèi)較為常見的貴金屬交易產(chǎn)品就是外盤的倫敦金,和上海的黃金TD。本文通過針對基于統(tǒng)計套利思想的交易策略的研究,在統(tǒng)計套利的方法上,分析了將協(xié)整方法應(yīng)用到貴金屬交易套利模型中的可能性,并在此基礎(chǔ)上,實現(xiàn)了對量化價差套利交易策略模型的研究和分析：通過對上海期貨交易所的黃金期貨和黃金TD的價差序列的分析,實現(xiàn)了構(gòu)建統(tǒng)計套利交易策略的模型和方法。通過對COMEX白銀期貨交易(紐約商品交易所)與白銀現(xiàn)貨TD交易(上海黃金交易所)之間價差的統(tǒng)計套利交易策略的數(shù)據(jù)分析,實現(xiàn)了模擬交易過程的檢驗和分析,并檢驗了其均值回復(fù)特性和正態(tài)性。通過對上述問題的探索性研究,本文為量化價差套利策略尋求到兩類基本的統(tǒng)計套利交易策略：正向套利和反向套利,從靜態(tài)和動態(tài)兩個角度,完成了對貴金屬交易策略的設(shè)計；并從交易虧損次數(shù)、最大回撤比率和最長持倉時間、日權(quán)益凈值曲線、流動性沖擊等角度,對貴金屬交易的風(fēng)險進(jìn)行了分析和研究。并在此基礎(chǔ)上,本文提出了“貴金屬套利系統(tǒng)”的設(shè)計思路,以提供了針對貴金屬交易中,單個品種以及包括套利產(chǎn)品在內(nèi)的,用不同套利價差計算方式形成的邏輯品種。本文的選題及研究內(nèi)容來自復(fù)旦大學(xué)金融研究中心高端學(xué)術(shù)研究課題(No.No.2012FDFRCGD02)“金融高頻數(shù)據(jù)的KDR建模分析方法及應(yīng)用研究”。
[Abstract]:Precious metals trading. Precious metals trading is mainly divided into physical transactions and electronic disk transactions. Physical transactions in banks or gold stores directly in the form of cash to physical transactions; Electronic trading is like stocks, futures, foreign exchange and other financial products, through the trading platform of computer data transactions. At present, the domestic more common precious metal trading products is the outside of the London gold. Based on the research of the trading strategy based on statistical arbitrage, this paper analyzes the possibility of applying cointegration to the precious metal trade arbitrage model in the statistical arbitrage method. On this basis, the paper realizes the research and analysis of the quantitative spread arbitrage trading strategy model: through the analysis of the gold futures and the gold TD price difference sequence of Shanghai Futures Exchange. The model and method of constructing statistical arbitrage trading strategy are realized. Through the trading of COMEX silver futures (New York Mercantile Exchange) and silver spot TD (Shanghai Gold Exchange); Statistical arbitrage trading strategy between the price difference between the data analysis. The test and analysis of simulated transaction process are realized, and its mean recovery and normality are tested. In this paper, we seek two basic statistical arbitrage strategies for quantifying spread arbitrage: forward arbitrage and reverse arbitrage. From the static and dynamic point of view, we complete the design of the precious metal trading strategy; The paper also analyzes and studies the risk of precious metal trading from the angles of trading loss times, maximum withdrawal ratio and longest holding time, daily net equity curve, liquidity impact and so on. In this paper, the design idea of "precious metal arbitrage system" is proposed to provide a single variety and including arbitrage products in precious metal trading. Logical varieties formed by different arbitrage price difference calculation methods. The topic and research content of this paper are from the high-end academic research project of Fudan University Financial Research Center No. No. No.2012FDFRCGD02). KDR Modeling and Analysis method of Financial High Frequency data and its Application Research.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F831.54;TP311.52

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本文編號：1390842