基于均值回归模型的统计套利策略及优化

发布时间：2018-04-22 00:39

本文选题：均值回归 + 量化投资　；参考：《复旦大学》2013年硕士论文

【摘要】：摘要：量化投资是目前非常流行的一种投资策略,它也可以被理解成统计套利,即通过对历史数据的分析、统计总结出一套交易的策略。价格向均值回归的现象是一种非常常见的现象,均值回归模型与随机游走模型都被用来对股票价格的走势进行解释。在均值回归模型下,股票的价格不再是不可预测的,而是遵循了一定的规律。掌握了这种规律我们或许能建立出一些现实可行的交易策略来获取超额收益。我们将均值回归模型理论应用到统计套利中构建一个交易策略、详细分析这个策略的优劣势并对其加以优化。
[Abstract]:Absrtact: quantitative investment is a very popular investment strategy at present, which can also be understood as statistical arbitrage, that is, through the analysis of historical data, a set of trading strategies can be summed up by statistics. The phenomenon of price regression to mean is a very common phenomenon. Both mean regression model and random walk model are used to explain the trend of stock price. In the mean regression model, the stock price is no longer unpredictable, but follows a certain law. By mastering this rule, we may be able to establish some practical and feasible trading strategies to obtain excess returns. We apply the mean regression model theory to the statistical arbitrage to construct a trading strategy and analyze the advantages and disadvantages of the strategy in detail and optimize it.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】