基于协整的甲醇与聚丙烯跨品种套利方案设计

发布时间：2018-01-19 23:38

本文关键词： 协整统计套利甲醇聚丙烯跨品种套利　出处：《对外经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：传统投资方式的有效性取决于投资者自身的分析能力与交易水平,这会导致投资结果的主观性过强、收益稳定性较差。如果投资者以单边投资作为主要策略,则会承担较大的行情波动风险;如果投资者以经验套利作为主要策略,也难以避免其中存在的主观因素。假设存在某种独立于市场本身的投资方式,能够使投资者客观地判断市场并据此做出合理的交易,获得稳定、可靠、且不取决于市场趋势的低风险收益,那这种投资方式一定能够受到市场参与者的广泛关注。利用统计学工具对一组金融产品进行研判与分析,进而得出的某些套利策略恰恰能够符合市场中性的特征。这类投资策略统称为统计套利策略。通过对冲大部分的市场风险,统计套利策略可以组合出独立于市场行情的走势,从而获得稳定的收益率。目前,基于协整的统计套利策略日趋成熟并广泛应用于国内外的学界、商界。通过详细介绍基于协整的统计套利策略的原理、定位、方法、步骤等理论,并在此基础上对基于协整的甲醇期货与聚丙烯期货的跨品种套利方案展开实证研究,帮助广大投资者深刻理解统计套利策略的主要内容,提升投资者的研究能力与交易水平。本文从筛选套利组合、确定对冲比率、交易信号设置、交易结果评测等多个方面详细介绍了实施统计套利策略的具体环节,并就套利组合的相关性、流动性、平稳性和协整关系四个方面着重做出了介绍。在本文的实证研究部分,以甲醇期货与聚丙烯期货为例展示了统计套利策略的分析、检验、设计和评测的多个环节,取得出了较为显著的研究成果。
[Abstract]:The effectiveness of the traditional investment mode depends on the analysis ability and trading level of the investors themselves, which will lead to the subjectivity of the investment results and the poor stability of the return, if the investors take unilateral investment as the main strategy. Will take on a greater risk of market fluctuations; If investors use empirical arbitrage as the main strategy, it is difficult to avoid the subjective factors. Low risk returns that enable investors to objectively judge the market and make reasonable transactions based on it are stable, reliable, and independent of market trends. This kind of investment must be widely concerned by market participants. Use statistical tools to study and analyze a set of financial products. And then some arbitrage strategies can exactly accord with the characteristics of market neutrality. These investment strategies are collectively referred to as statistical arbitrage strategies by hedging most of the market risks. Statistical arbitrage strategy can combine the trend independent of the market market to obtain a stable rate of return. At present, the cointegration-based statistical arbitrage strategy is becoming more and more mature and widely used in the academic circles at home and abroad. Business sector. By introducing the theory of statistical arbitrage strategy based on cointegration, such as principle, positioning, method, steps and so on. On the basis of this, an empirical study on the cross-variety arbitrage scheme of methanol futures and polypropylene futures based on cointegration is carried out to help investors understand the main content of statistical arbitrage strategy. This paper introduces the implementation of statistical arbitrage strategy in detail from many aspects, such as screening arbitrage combinations, determining hedge ratio, setting up trading signals, evaluating trading results, and so on. The correlation, liquidity, smoothness and cointegration of arbitrage portfolio are introduced in this paper. Taking methanol futures and polypropylene futures as examples, this paper shows the analysis, test, design and evaluation of statistical arbitrage strategy, and obtains remarkable research results.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F767

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