基于门限协整理论的贵金属市场套利研究

发布时间：2018-01-02 03:00

本文关键词：基于门限协整理论的贵金属市场套利研究　出处：《昆明理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文首先列举了国内市面上的一些套利方式,总结出几种交易策略,其中包括了适合计算机算法交易的低风险策略。同质商品价格存在长期均衡关系,当价格偏离均衡时,由于价格发现的一直存在,偏离会迅速回到均衡。利用这一特性的门限协整套利便属于低风险策略。门限协整属于非线性时间序列分析中的一种新方法,本文在介绍了一些时间序列的基本概念后,对两门限三体制(Regime)协整做了模型假设和估计方法做了说明。最后以全球贵金属市场中的现货黄金、现货白银为例,做了门限协整分析,通过调整模型,得到了一些有趣的结论。本文的创新点主要有两处。一是通过eviews编程实现了三体制门限协整中门限值的超一致估计量。二是文章首次将非线性、非对称调整的协整模型用于现货黄金、现货白银的套利研究。国内关于套利的研究大多局限于国内已有交易品种,如股票市场、股指期货、商品现货(但不包括黄金、白银)等。虽然我国已有现货黄金、白银的交易市场,如上海黄金交易所、天津贵金属交易,但本文采用全球黄金交易量最大、最活跃的纽约商品交易所(Comex)数据作分析。
[Abstract]:This paper first lists some arbitrage methods in the domestic market, summarizes several trading strategies, including a low risk strategy suitable for computer algorithm trading. There is a long-term equilibrium relationship between the price of homogeneous commodities. When the price deviates from the equilibrium, the deviation will return to the equilibrium quickly because of the price discovery. Threshold cointegration is a new method in nonlinear time series analysis. In this paper, some basic concepts of time series are introduced. The model hypothesis and estimation method of the two-threshold three-system Regime cointegration are explained. Finally, taking the spot gold and silver in the global precious metal market as examples, the threshold cointegration analysis is done. Some interesting conclusions are obtained by adjusting the model. There are two main innovations in this paper. The first is the realization of the superuniform estimate of the threshold value in the threshold cointegration by eviews programming. Second, the paper first applies the nonlinear, asymmetric adjustment cointegration model to the spot gold, spot silver arbitrage research. Most of the domestic research on arbitrage is limited to the existing domestic trading varieties, such as the stock market. Stock index futures, commodities spot (but excluding gold, silver) and so on. Although China has spot gold, silver trading market, such as Shanghai Gold Exchange, Tianjin precious metals trading. However, this paper uses Comex data, which is the largest and most active gold trading volume in the world.
【学位授予单位】：昆明理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224;TP301.6

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