基于高频数据的期货市场统计套利分析

发布时间：2018-11-21 17:42

【摘要】：统计套利策略是世界上发达国家对冲基金以及机构投资者所成功运用的策略之一,统计套利的实行可以为投资人获得数额较大的低风险的收益。由于我国金融市场的统计套利研究还处于起步阶段,因此统计套利策略的研究具有非常重要的意义。本文选取上海期货交易所的铜期货合约进行研究,考虑到在相邻2期的合约间除了合约的到期日不同以外,其它的基本相同,选取适合的统计套利交易研究对象。本文选取2012年9月6日到9月13日上海期货交易所的Cul303和Cul304的收盘价进行研究,此外,为尽量挖掘具有潜在性的统计套利的交易的机会,本文利用这2支合约5分钟的收盘价构成高频数据作为本文的研究样本。本文通过协整理论来对期货合约间长期均衡的关系进行检验,之后以协整系数为统计的套利配对交易系数检验期货的合约之间均衡关系。然后,对套利交易收益的最大化最优触发点进行确定。按照风险定价的策略来对止损的上边界、下边界进行确定,目的使风险问题得到有效的控制并且试图将风险控制在最低,从而对统计套利的最优策略进行构建。最后,按照所构建的最优策略进一步对样本期内的相关数据进行分析以及模拟交易,从而检验统计套利策略在我国期货市场的可行性。
[Abstract]:Statistical arbitrage strategy is one of the successful strategies used by hedge funds and institutional investors in developed countries in the world. The study of statistical arbitrage is of great significance because the study of statistical arbitrage is still in its infancy. In this paper, the copper futures contracts of Shanghai Futures Exchange are selected to study. Considering that the contracts in the next two periods are basically the same except for the different maturity dates of the contracts, the suitable statistical arbitrage trading objects are selected. This paper studies the closing prices of Cul303 and Cul304 in Shanghai Futures Exchange from September 6 to September 13, 2012. In addition, in order to explore the potential statistical arbitrage trading opportunities as far as possible, In this paper, the 5-minute closing price of these two contracts is used as the sample of this study. In this paper, the long-term equilibrium relationship between futures contracts is tested by cointegration theory, and then the equilibrium relationship between futures contracts is tested by the arbitrage pairing transaction coefficient with cointegration coefficient as statistics. Then, the optimal trigger point of maximization of arbitrage return is determined. According to the strategy of risk pricing, the upper and lower boundaries of stop loss are determined, in order to effectively control the risk problem and try to keep the risk to the lowest, the optimal strategy of statistical arbitrage is constructed. Finally, according to the optimal strategy, we further analyze the relevant data in the sample period and simulate the transaction, so as to test the feasibility of statistical arbitrage strategy in China's futures market.
【学位授予单位】：长春工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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