贵金属量化价差套利中交易策略设计及软件实现

发布时间：2018-01-07 03:38

本文关键词：贵金属量化价差套利中交易策略设计及软件实现　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：贵金属交易,就是以贵重稀有金属为对象的交易行为。贵金属交易主要分实物交易和电子盘交易。实物一般在银行或者金店里直接以现金对实物的形式完成交易买卖；电子交易盘就是像股票、期货、外汇等理财产品一样,通过交易平台的计算机数据来进行的交易。目前,国内较为常见的贵金属交易产品就是外盘的伦敦金,和上海的黄金TD。本文通过针对基于统计套利思想的交易策略的研究,在统计套利的方法上,分析了将协整方法应用到贵金属交易套利模型中的可能性,并在此基础上,实现了对量化价差套利交易策略模型的研究和分析：通过对上海期货交易所的黄金期货和黄金TD的价差序列的分析,实现了构建统计套利交易策略的模型和方法。通过对COMEX白银期货交易(纽约商品交易所)与白银现货TD交易(上海黄金交易所)之间价差的统计套利交易策略的数据分析,实现了模拟交易过程的检验和分析,并检验了其均值回复特性和正态性。通过对上述问题的探索性研究,本文为量化价差套利策略寻求到两类基本的统计套利交易策略：正向套利和反向套利,从静态和动态两个角度,完成了对贵金属交易策略的设计；并从交易亏损次数、最大回撤比率和最长持仓时间、日权益净值曲线、流动性冲击等角度,对贵金属交易的风险进行了分析和研究。并在此基础上,本文提出了“贵金属套利系统”的设计思路,以提供了针对贵金属交易中,单个品种以及包括套利产品在内的,用不同套利价差计算方式形成的逻辑品种。本文的选题及研究内容来自复旦大学金融研究中心高端学术研究课题(No.No.2012FDFRCGD02)“金融高频数据的KDR建模分析方法及应用研究”。
[Abstract]:Precious metals trading. Precious metals trading is mainly divided into physical transactions and electronic disk transactions. Physical transactions in banks or gold stores directly in the form of cash to physical transactions; Electronic trading is like stocks, futures, foreign exchange and other financial products, through the trading platform of computer data transactions. At present, the domestic more common precious metal trading products is the outside of the London gold. Based on the research of the trading strategy based on statistical arbitrage, this paper analyzes the possibility of applying cointegration to the precious metal trade arbitrage model in the statistical arbitrage method. On this basis, the paper realizes the research and analysis of the quantitative spread arbitrage trading strategy model: through the analysis of the gold futures and the gold TD price difference sequence of Shanghai Futures Exchange. The model and method of constructing statistical arbitrage trading strategy are realized. Through the trading of COMEX silver futures (New York Mercantile Exchange) and silver spot TD (Shanghai Gold Exchange); Statistical arbitrage trading strategy between the price difference between the data analysis. The test and analysis of simulated transaction process are realized, and its mean recovery and normality are tested. In this paper, we seek two basic statistical arbitrage strategies for quantifying spread arbitrage: forward arbitrage and reverse arbitrage. From the static and dynamic point of view, we complete the design of the precious metal trading strategy; The paper also analyzes and studies the risk of precious metal trading from the angles of trading loss times, maximum withdrawal ratio and longest holding time, daily net equity curve, liquidity impact and so on. In this paper, the design idea of "precious metal arbitrage system" is proposed to provide a single variety and including arbitrage products in precious metal trading. Logical varieties formed by different arbitrage price difference calculation methods. The topic and research content of this paper are from the high-end academic research project of Fudan University Financial Research Center No. No. No.2012FDFRCGD02). KDR Modeling and Analysis method of Financial High Frequency data and its Application Research.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.54;TP311.52

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