统计套利策略在我国股票市场的实证分析

发布时间：2018-01-01 16:15

本文关键词：统计套利策略在我国股票市场的实证分析　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：2010年3月31日我国股票市场在酝酿多年之后终于正式推出了融资融券交易制度。这使得我国股票市场彻底告别了单边交易的时代，也为广大股票投资者引入了做空机制。在我国股票市场不断完善的同时，同西方发达国家的股票市场的差距正在缩小，我国股票市场将会越来越多地借鉴和引入西方成熟的投资策略，使得我国股票市场进入更高效的时代。在众多纷繁复杂的投资策略中，本文就统计套利策略展开了研究。统计套利策略的核心思想在于配对股票的建立。在完全脱离经济含义的前提下，只有合理的应用量化的手段来架构投资组合，才能够进一步免疫系统性的风险，进而可以获取到超额的收益，，而该收益没有或者存在较低的风险。配对交易的方式主要依托的核心理念是均值回复，可以将其定义为市场中性策略。两只股票彼此之间有一定的联系，可以维持在一定的趋势范围内。如果某一时刻受到某一因素的影响而使得两只股票之间的联系性出现了偏差，那么就出现了套利机会。本文将证监会规定的“融资融券”500只标的股作为股票池，求出两两的相关系数，选取相关系数最大的两只股票-鞍钢股份和武钢股份作为套利股票对。然后验证其存在协整关系，分别用固定参数法、GARCH模型法和Ornstein-Uhlenbeck过程法计算样本内收益率。经过对比期内累计收益率的结果，固定参数法收益最高，GARCH模型和Ornstein-Uhlenbeck过程法次之。
[Abstract]:China's stock market in March 31, 2010 after years of deliberation finally officially launched the margin trading system. This makes China's stock market to bid farewell to the era of unilateral trade, also introduces short mechanism for the majority of the stock investors. Continuous improvement in our stock market. At the same time, with the western developed countries, the stock market is narrowing the gap will be more and more, China's stock market reference and the introduction of western mature investment strategy, so the stock market of our country into a more efficient era. In many complex investment strategies, based on the statistical arbitrage strategy is studied.
The core idea of statistical arbitrage strategy is established. In the premise of pairing stock completely out of economic meaning, only the application of reasonable quantitative means to construct the portfolio, to the risk of further immune system, and then you can get to the excess income, and the income not or low risk. The core idea of pairing the transaction mode is primarily based on the mean reversion, which can be defined as the market neutral strategy. There is some relationship between the two shares of each other, can maintain a certain trend range. If a moment is influenced by certain factors and makes the connection between the two stocks appear deviation, then appeared arbitrage the opportunity.
The provisions of the Commission "margin" as 500 shares of the underlying stock pool, calculate the correlation coefficient of 22, select the maximum correlation coefficient of the two stocks - Angang Steel and Wuhan Iron and Steel shares as arbitrage in stock. Then verify the existence of cointegration relationship, respectively with fixed parameter method, calculate the rate of return in sample GARCH model method and Ornstein-Uhlenbeck method. After comparing the process period cumulative yield results, fixed parameter method yields the highest, GARCH model and Ornstein-Uhlenbeck process method.

【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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