CAJ | 학술논문

配对交易是统计套利的一个部分。当前配对交易对于股票对的选取大都基于统计学相关性理论，股票对的选取理论与交易对冲系统的策略无关联。主要介绍一种基于累计收益的配对方法，该方法使用累计收益的价差（相对波动）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。经过模拟交易测试发现，交易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，收益依然令人满意。
배대교역시통계투리적일개부분。당전배대교역대우고표대적선취대도기우통계학상관성이론，고표대적선취이론여교역대충계통적책략무관련。주요개소일충기우루계수익적배대방법，해방법사용루계수익적개차（상대파동）위의거래고찰고표지간적상관성，통과역사수익솔래학정고표지간적상관성。해방법적목표시：조도상관정도고차고개상대파동폭도대적고표대，재고개파동과정중반복투리，종이체도영리적목적。경과모의교역측시발현，교역책략재상증지수대창시수익흔호，재상증지수진탕화하질시，수익의연령인만의。
Pair trading is a part of statistical arbitrage.In current pair trading the selection of stock pair is mostly based on statistical correlation theory,it has no association with the strategies for hedge trading system.This paper mainly describes a cumulative earning-based pairing method.The algorithm examines the correlation between stocks with spreads of the cumulative earning difference (relative fluctuation) and determines the correlation between stocks with historical yields.The goal of the method is to find those stock pairs which have high correlation and large relative fluctuation in prices,so that it is able to repeatedly arbitrage in the course of stock prices fluctuation and to hit the goal of earning.By the mock trading test,it is found that the trade strategy has a larger earning when the Shanghai Composite Index surges.While the Shanghai Composite Index shocks or plunges,the earning is still satisfactory.