基于统计套利的A股量化交易策略研究

发布时间：2018-04-15 01:37

本文选题：统计套利 + 协整理论　；参考：《青岛大学》2017年硕士论文

【摘要】：本文选取2014年1月1日至2015年6月30日A股市场上12支银行股的日交易数据为样本,进行了基于统计套利的A股量化交易策略研究。我们首先依据协整理论筛选出了协整关系最佳的两支股票——中国银行(601988.SH)和工商银行(601398.SH)组成配对,建立了经典的配对交易模型。之后在研究经典配对交易模型的改进方法时,我们注意到基于统计学原理设计的布林带通道可以将资产价格的相对高低与价格的波动幅度结合在一起,动态地描述资产价格正常波动的区间,因此我们将布林带通道突破策略应用到经典配对交易模型的改进中,动态地刻画配对股票价差正常波动的区间,优化了套利交易的触发机制,最后构建了基于协整理论和布林带通道突破策略的配对交易模型。我们设计的新模型不仅可以实现开、平仓阈值对行情的自适应调整,具有更为合理的交易触发机制,能够捕捉到更多的套利机会从而赚取更多的利润,还能够避免过度拟合的问题,具有更好的稳定性和可操作性。在交易期的回溯测试中,相比于经典配对交易模型的表现,我们构建的新模型捕捉到了更多的套利机会并且获得了10.76%的年化收益率,因此可以认为使用布林带通道突破策略改进经典配对交易模型达到了较为理想的效果,并且具有较高的实践意义。
[Abstract]:From January 1, 2014 to June 30, 2015, the daily trading data of 12 bank shares in A share market are selected as samples, and the quantitative trading strategy of A shares based on statistical arbitrage is studied.Based on the co-integration theory, we first select two stocks with the best co-integration relationship, the Bank of China 601988.SH) and the Industrial and Commercial Bank of China (ICBC) 601398.SHs, and set up a classical pairing transaction model.Then, when we study the improved method of classical pairing transaction model, we note that the design of Blind channel based on statistical principle can combine the relative value of asset price with the fluctuation of price.The interval of the normal volatility of asset price is described dynamically, so we apply the Breakthrough strategy to the improvement of the classical pairing trading model, and dynamically depict the interval of the normal volatility of the paired stock price.The trigger mechanism of arbitrage transaction is optimized. Finally, a pairing transaction model based on cointegration theory and Breakthrough strategy is constructed.The new model that we designed can not only realize the adaptive adjustment of the closing threshold to the market, but also have a more reasonable transaction trigger mechanism, which can capture more arbitrage opportunities and make more profits.It can avoid the problem of overfitting and has better stability and maneuverability.In the backtracking test of the trading period, our new model captures more arbitrage opportunities and gains an annualized rate of return of 10.76% than the performance of the classic paired trading model.Therefore, it can be considered that using Breakthrough strategy to improve the classical pairing transaction model has a more ideal effect, and has a higher practical significance.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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