统计套利在我国证券市场的应用

发布时间：2018-01-30 16:59

本文关键词： 协整 GARCH模型主成分分析突变理论　出处：《华东师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：统计套利是一种交易策略,它的目的是建这样一个投资组合：寻找具有协整关系的一对股票,当这对股票的股价相互偏离值达到一定程度时,做空较高价位的股票,同时做多较低价位的股票。当这对股票的股价相互偏离值缩小到一定程度时,反方向平仓掉投资组合内股票,从而获得投资收益。统计套利的优点是市场中性,即不管市场如何波动,该策略所构建的投资组合都可以对冲掉市场的系统性风险。目前国内外的学者对统计套利做了不少研究,主要集中于配对股票的选取方式和交易信号的选择。本文将在已有研究的基础上,运用最新的数据,对统计套利的各种常用模型在我国的证券市场上进行实证检验,包括正态分布模型,GARCH模型等。研究结果显示：运用GARCH模型会产生过多的交易信号,导致套利的收益无法抵偿交易的费用,而正态分布模型更加适用于我国的证券市场。以民生银行和招商银行为例,在2007年到2011年的时间段内,投资组合可以获得平均17%的年化收益率。早期的研究大多集中于一对一的股票配对交易,本文将对此进行扩展,研究一对多的配对方式。研究结果显示一对一的配对和一对多的配对各有优点,两者都可以提供很多统计套利的机会,一对一的配对对两只股票的相关性要求更高,一对多的配对更加适用于流通市值较小、交投活跃、波动幅度大的股票。本文最后将突变理论引进到统计套利中,突变理论是指在某个节点的前后时间序列的统计特征发生了变化。本文运用似然估计法找出上证指数和配对个股的突变点,结合突变点改进交易信号。研究结果显示这一方法可以获得更好的收益,同时承受更低的风险。
[Abstract]:Statistical arbitrage is a trading strategy that aims to build a portfolio that looks for a pair of stocks with a cointegration relationship when the stock price deviates from each other to a certain extent. Short stocks at a higher price and long stocks at a lower price. When the price deviations from each other are reduced to a certain extent, sell the shares in the portfolio in the opposite direction. The advantage of statistical arbitrage is that it is market neutral, that is, no matter how volatile the market, the portfolio constructed by the strategy can hedge the systemic risk of the market. At present, scholars at home and abroad have done a lot of research on statistical arbitrage, mainly focused on the selection of matching stocks and trading signals. This paper will use the latest data on the basis of existing research. The common models of statistical arbitrage are tested in the stock market of China, including the normal distribution model. GARCH model and so on. The results show that: the use of GARCH model will produce too many transaction signals, resulting in arbitrage income can not cover the transaction costs. The normal distribution model is more suitable for China's securities market. Taking Minsheng Bank and China Merchants Bank for example, the period from 2007 to 2011. The portfolio yields an average of 17% annualized returns. Earlier studies focused on one-to-one stock pairing, which is expanded to study one-to-many pairing. The results show that one-to-one pairing and one-to-many pairing have their respective advantages. Both can provide a lot of statistical arbitrage opportunities, one-to-one pairs of two stocks of higher correlation requirements, one-to-many pairs more suitable for circulation market value small, active trading. In the end, the catastrophe theory is introduced into statistical arbitrage. Catastrophe theory refers to the change of statistical characteristics of time series before and after a certain node. In this paper, we use the likelihood estimation method to find out the mutation point of Shanghai stock index and matched stock. Improved trading signals with mutation points. Research results show that this approach can achieve better returns while at the same time taking lower risks.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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