基于证券收益率相对波动的配对交易系统研究与实现

发布时间：2018-03-27 05:36

本文选题：配对交易　切入点：收益　出处：《东华大学》2014年硕士论文

【摘要】：近年国内A股市场一直是震荡下跌趋势。股市中传统的做多策略在当前行情中效果越来越差。投资者对于投资策略的需求越来越多样化。其中配对交易作为一种低风险,收益稳定的策略越来越受关注。当前配对交易对于股票对的选取大都基于统计学中的相关性理论,股票对的相关性理论与交易对冲策略无关联。本文主要介绍的是一种基于收益率相对波动的配对方法,该方法使用累计收益的价差为依据来考察股票之间的相关性,通过历史收益率来确定股票之间的相关性。该方法的目标是：找到相关程度高且股价相对波动幅度大的股票对,在股价波动过程中反复套利,从而达到赢利的目的。经过程序测试发现,基本策略在上证指数大涨时收益很好,在上证指数震荡和下跌时,短期投资收益下降,但长期收益会很好。所以本策略在操作上可行,将来改进之后的策略能进一步提高收益。本文研究的主要内容如下： (1)提出一种新的配对交易模型。该模型利用股票对的累计收益率来形成价差序列,利用股票组合的最终收益率来评估组合之间的相关性,最后用模拟样本数据进行模拟测试,证明了盈利模型有效、可用。 (2)实现配对交易系统。包括股票配对模块和交易执行模块。股票配对模块完成指定股票市场的股票配对和筛选工作,交易执行模块模拟指定股票对在某一个时间段中配对交易过程,在这个过程中,记录每笔交易的动作、交易信号和最后的收益。 (3)配对交易算法优化。本文针对配对交易算法的收益与风险进行一定程度的优化,利用技术指标和公告消息优化收益,利用止损策略来控制交易系统的风险。本文描述的配对交易算法在应用中得到了实践检验,实践结果证明该算法与系统的有效性,可以满足实际的需要。
[Abstract]:In recent years, the domestic A share market has been a trend of volatility and decline. The traditional long strategy in the stock market is getting worse and worse in the current market. Investors' demand for investment strategies is becoming more and more diversified. The strategy of income stabilization is getting more and more attention. The selection of stock pairs in current pairing trading is based on the correlation theory in statistics. The correlation theory of stock pairs has no relation with hedging strategy. This paper mainly introduces a pairing method based on relative volatility of yield, which uses the spread of cumulative return as the basis to investigate the correlation between stocks. The objective of this method is to find out the stock pairs with high correlation and the relative volatility of the stock price, and to carry the stock price over and over again in the process of the stock price fluctuation, the objective of the method is to find the stock pairs with high correlation and the relative volatility of the stock price. In order to achieve the goal of profit. Through the program test, we found that the basic strategy is very good when the Shanghai stock index rises sharply, and when the Shanghai stock index fluctuates and falls, the short-term investment returns fall. But the long-term income will be very good. Therefore, this strategy is feasible in operation, and the future improved strategy can further improve the income. The main contents of this paper are as follows:. In this model, the cumulative return rate of the stock pair is used to form the spread sequence, the final return rate of the stock portfolio is used to evaluate the correlation of the portfolio, and the simulated sample data is used to simulate the test. It is proved that the profit model is effective and available. 2) implement the pairing trading system, including the stock pairing module and the trading execution module. The stock pairing module completes the stock pairing and screening work in the designated stock market. The transaction execution module simulates the paired trading process of a specified stock pair in a certain period of time during which the actions of each transaction the trading signal and the final return are recorded. This paper optimizes the profit and risk of the pairing transaction algorithm to a certain extent, optimizes the income by using the technical index and the announcement message, and controls the risk of the trading system by the stop-loss strategy. The pairing transaction algorithm described in this paper has been tested in practice. The practical results show that the algorithm and the system are effective and can meet the practical needs.
【学位授予单位】：东华大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：TP301.6;F832.51

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