本文選題：對(duì)沖交易　切入點(diǎn)：配對(duì)交易　出處：《哈爾濱工業(yè)大學(xué)》2013年碩士論文

【摘要】：近年來(lái)對(duì)沖交易風(fēng)靡全球，使用此策略對(duì)沖股票交易過(guò)程中的風(fēng)險(xiǎn)是各大券商、銀行所推崇的方法。其中配對(duì)交易是對(duì)沖交易的一種重要方式。即利用兩個(gè)走勢(shì)相似的股票其價(jià)差序列短暫偏離均值時(shí)獲取套利。在配對(duì)交易中如何選擇股票對(duì)是整個(gè)策略中最為重要的環(huán)節(jié)，比如根據(jù)風(fēng)險(xiǎn)系數(shù)對(duì)股票進(jìn)行分類(lèi)，根據(jù)行業(yè)對(duì)股票進(jìn)行分類(lèi)等等。選擇正確的配對(duì)股票將決定整個(gè)交易的成功或失敗。 本文基于前人的研究，即分別對(duì)上下游企業(yè)使用零風(fēng)險(xiǎn)投資策略，其績(jī)效不同這一結(jié)論，假設(shè)在行業(yè)分類(lèi)的基礎(chǔ)上進(jìn)一步進(jìn)行上下游企業(yè)分類(lèi)時(shí)，股票配對(duì)收益會(huì)比單純的行業(yè)配對(duì)收益更高。所以本文基于前人的配對(duì)交易經(jīng)典模型，對(duì)上下游配對(duì)交易進(jìn)行測(cè)試，以經(jīng)典的行業(yè)配對(duì)為基準(zhǔn)。測(cè)試出上下游配對(duì)交易的可行性以及收益性。 一般來(lái)講配對(duì)交易分為三個(gè)環(huán)節(jié)，股票篩選環(huán)節(jié)，股票配對(duì)環(huán)節(jié)，交易信號(hào)執(zhí)行環(huán)節(jié)。其中股票對(duì)的篩選環(huán)節(jié)對(duì)配對(duì)交易最終的收益率有著決定性的影響。本文選取相同的配對(duì)方式，以及交易模型，來(lái)驗(yàn)證不同的篩選方式即將股票進(jìn)行上下游分類(lèi)，以及進(jìn)行行業(yè)分類(lèi)進(jìn)行比較，驗(yàn)證哪種分類(lèi)方式更優(yōu)。 本文使用Matlab、Spss、Excel、Eviews對(duì)上證一百以及深證一百數(shù)據(jù)進(jìn)行分析最后驗(yàn)證了此種配對(duì)策略在中國(guó)股票市場(chǎng)的是可行的。其成功率，即配對(duì)股票盈利的次數(shù)占總交易次數(shù)的比例，也達(dá)到了80%以上。綜合來(lái)看，按照上下游進(jìn)行分類(lèi)的股票配對(duì)相對(duì)于按照行業(yè)分類(lèi)的股票配對(duì)，其獲得的收益率更高。
[Abstract]:Hedge trading has become a global phenomenon in recent years, and using this strategy to hedge the risks in the trading of stocks is among the major brokerages. The method favoured by banks. Among them, pairing is an important way to hedge trades. Namely, to obtain arbitrage when the spread sequence of two similar stocks deviates from the mean briefly. How to select the stock pair in the paired trading. Is the most important part of the whole strategy, For example, stocks are classified according to risk coefficient, stocks are classified according to industry, and so on. Choosing the right matching stock will determine the success or failure of the whole transaction. This paper is based on the conclusion that zero risk investment strategy is used separately for upstream and downstream enterprises, and its performance is different. This paper assumes that on the basis of industry classification, the upstream and downstream enterprises are classified further. The returns of stock matching will be higher than that of pure industry pairing. So this paper tests the upstream and downstream pairing transactions based on the classical model of pairing trading. Test the feasibility and profitability of upstream and downstream matching transactions based on classic industry pairing. Generally speaking, pairing transactions are divided into three links: stock screening, stock matching. The selection of stock pairs has a decisive effect on the final return rate of the paired transactions. This paper selects the same matching mode and trading model. To verify the different screening methods, that is, stocks are classified upstream and downstream, and industry classification is compared to verify which classification method is better. This paper analyzes the data of Shanghai Stock Exchange 100 and Shenzhen Stock Exchange 100 by using Matlab Spssman Excel Eviews. Finally, it is proved that this matching strategy is feasible in China's stock market, and its success rate, that is, the ratio of the number of times of matching stock earnings to the total number of transactions, is proved to be feasible. Taken together, stocks classified by upstream and downstream have higher returns than those classified by industry.
【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】：2013
【分類(lèi)號(hào)】：F832.51;F224

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