配对交易的改进设计

发布时间：2018-01-10 09:15

本文关键词：配对交易的改进设计　出处：《华南理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：配对交易策略（Pairs Trading），最早源于上世纪20年代华尔街传奇交易员JesseLivermore的姐妹股票对（sister stocks）交易策略，是欧美证券市场的对冲基金经理常用的重要交易策略之一。但在我国证券市场，国泰君安、海通证券等机构投资者于2009年才开始引进并研究该策略。由于卖空方面的约束和高成本，传统的配对交易并不完全适应现在的市场。因此，本文的主要目的是对传统的配对交易进行改进设计。针对配对交易在我国证券市场运用的局限性，本文主要在交易方式和股票池筛选两个方面进行了改进，也即，采用动量策略遴选配对交易股票池，以单边交易替代传统的双边对冲交易。改进后配对交易的交易流程为：第一，运用两年观察期一年交易期的动量策略筛选股票池；第二，计算股票池内股票与股票间的相关系数，，选取相关系数靠前的股票对；第三，根据股票对回归残差值建立配对模型并设立交易规则；第四，程序化交易。本文对配对交易的可行性及效益性，采用历史模拟的方法进行实验验证。实验结果表明，从2004年至2013年，改进的配对交易的年化收益率为38.33%，而对样本股票采用买入并持有策略的年化收益率26.58%；改进的配对交易夏普比率为6.80，而样本的买入并持有策略夏普比率为4.82。因此，改进的配对交易具有可行性和效益性。本文的贡献主要体现在，在配对交易股票池的筛选上运用动量策略的方法，在交易方式上用单边交易替代了原来的对冲交易。因为改进后的配对交易放宽对市场提供卖空机制的要求约束，更适用我国证券市场运行，也是本产品最大的价值所在。而运用动量策略来筛选股票池，一方面拓宽了配对交易股票池的筛选方法，另一方面也提升了动量策略的实用价值。
[Abstract]:Pairs trading strategy. In -80s, sister stock to sister stocks of JesseLivermore, a legendary trader on Wall Street, started trading strategies. It is one of the most important trading strategies used by hedge fund managers in European and American securities markets. However, in China's securities market, Guotai Junan is one of the most important trading strategies. In 2009, Haitong Securities and other institutional investors began to introduce and study this strategy. Because of the constraints and high costs of short selling, the traditional matching transactions do not fully adapt to the current market. The main purpose of this paper is to improve the design of traditional matching transactions. In view of the limitations of pairing trading in China's securities market, this paper mainly improves the trading mode and stock pool selection, that is, the momentum strategy is used to select the paired trading stock pool. The improved trading process is as follows: first, the momentum strategy of one year trading period of two years observation period is used to screen the stock pool; Second, calculate the correlation coefficient between stock and stock in the stock pool, select the stock pair with the highest correlation coefficient; Third, according to the stock regression residual value to establish a pairing model and set up trading rules; 4th, programmed transaction. In this paper, the feasibility and benefit of paired transactions are verified by the method of historical simulation. The experimental results show that from 2004 to 2013. The annual rate of return of the improved pairing transaction is 38.33, while that of the sample stock is 26.58 with the strategy of buying and holding. The improved pair trading Sharp ratio is 6.80, while the sample buying and holding strategy is 4.82. Therefore, the improved pair trading is feasible and effective. The contribution of this paper is mainly reflected in the use of momentum strategy in the selection of paired stock pools. Unilateral trading is used to replace the original hedging transactions. Because the improved matching transactions relax the requirements of the market to provide short selling mechanism, it is more suitable for the operation of China's securities market. The use of momentum strategy to screen stock pools not only broadens the screening methods of paired stock pools, but also enhances the practical value of momentum strategies.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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