基于协整的统计套利模型在融资融券市场下应用研究
发布时间：2018-08-12 17:24
【摘要】：自2010年3月31日我国融资融券交易试点启动以来,融资融券业务经过4年的发展规模大幅提高。我国做空机制的不断完善为统计套利在我国市场实施提供了有利条件。本文前部分简单的介绍了融资融券的基础知识、统计套利的相关理论及协整检验的方法。最后系统的研究了基于协整理论的统计套利模型的建立方法,以及交易信号的制定。针对传统的统计套利模型存在的不足,分别对套利模型和交易信号进行改进,提出了基于协整的优化统计套利模型。采用了如下优化方法： ◇延后开仓策略 ◇提前平仓策略 ◇利用GARCH模型对交易组合的价差序列进行处理,用时变标准差代替简单标准差,确定交易触发条件和止损边界 ◇滑动平均模型法预测长期均衡关系 实证部分基于2012年2月21日至2014年2月21日最新数据,从标的股票相关性、平稳性、协整性及价差回归速度等角度对5个行业的股票进行筛选,本文最后选取了大同煤业和平煤股份两只股票。基于大同煤业和平煤股份两只股票近两年最新交易数据,建立基于协整的传统统计套利模型和优化统计套利模型。从理论和实证分析中可以看出,基于协整的统计套利模型在我国股票市场具有可行性,提前平仓、延后开仓、基于GARCH的时变标准差以及滑动平均模型在统计套型中的应用是非常有效的。他们能够更好地捕获套利机会、提高套利成功效率、降低套利风险,提高套利收益。
[Abstract]:Since the trial of margin trading in China started on March 31, 2010, the scale of margin trading has been greatly improved after 4 years of development. The continuous improvement of short-selling mechanism in China provides favorable conditions for the implementation of statistical arbitrage in our market. The first part of this paper briefly introduces the basic knowledge of margin financing, statistical arbitrage theory and cointegration test method. Finally, the establishment method of statistical arbitrage model based on cointegration theory and the formulation of transaction signal are systematically studied. Aiming at the shortcomings of the traditional statistical arbitrage model, the paper improves the arbitrage model and the transaction signal, and proposes an optimized statistical arbitrage model based on cointegration. The following optimization methods are adopted: the delayed opening strategy and the early closing strategy process the price difference sequence of the transaction combination with GARCH model, and the simple standard deviation is replaced by the time-varying standard deviation. Based on the latest data from February 21, 2012 to February 21, 2014, based on the latest data from February 21, 2012 to February 21, 2014, the empirical evidence is based on the correlation and smoothness of underlying stocks. From the angle of cointegration and the speed of price difference regression, this paper selects two stocks of Datong coal industry. The traditional statistical arbitrage model and the optimized statistical arbitrage model based on cointegration are established based on the latest trading data of the two shares in Datong Coal Industry in recent years. From the theoretical and empirical analysis, we can see that the statistical arbitrage model based on cointegration is feasible in China's stock market. The application of time-varying standard deviation based on GARCH and moving average model in statistical nested is very effective. They can better capture arbitrage opportunities, improve the efficiency of arbitrage success, reduce arbitrage risk and increase arbitrage returns.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
本文编号：2179765
[Abstract]:Since the trial of margin trading in China started on March 31, 2010, the scale of margin trading has been greatly improved after 4 years of development. The continuous improvement of short-selling mechanism in China provides favorable conditions for the implementation of statistical arbitrage in our market. The first part of this paper briefly introduces the basic knowledge of margin financing, statistical arbitrage theory and cointegration test method. Finally, the establishment method of statistical arbitrage model based on cointegration theory and the formulation of transaction signal are systematically studied. Aiming at the shortcomings of the traditional statistical arbitrage model, the paper improves the arbitrage model and the transaction signal, and proposes an optimized statistical arbitrage model based on cointegration. The following optimization methods are adopted: the delayed opening strategy and the early closing strategy process the price difference sequence of the transaction combination with GARCH model, and the simple standard deviation is replaced by the time-varying standard deviation. Based on the latest data from February 21, 2012 to February 21, 2014, based on the latest data from February 21, 2012 to February 21, 2014, the empirical evidence is based on the correlation and smoothness of underlying stocks. From the angle of cointegration and the speed of price difference regression, this paper selects two stocks of Datong coal industry. The traditional statistical arbitrage model and the optimized statistical arbitrage model based on cointegration are established based on the latest trading data of the two shares in Datong Coal Industry in recent years. From the theoretical and empirical analysis, we can see that the statistical arbitrage model based on cointegration is feasible in China's stock market. The application of time-varying standard deviation based on GARCH and moving average model in statistical nested is very effective. They can better capture arbitrage opportunities, improve the efficiency of arbitrage success, reduce arbitrage risk and increase arbitrage returns.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
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