湖南理工学院学报(自然科学版)
湖南理工學院學報(自然科學版)
호남리공학원학보(자연과학판)
Journal of Hunan Institute of Science and Technology (Natural Sciences)
2015年
3期
23-26
,共4页
协整模型%统计套利%融资融券
協整模型%統計套利%融資融券
협정모형%통계투리%융자융권
Co-integration model%statistical arbitrage%margin trading
由于融资融券和股指期货的推出,使得卖空机制在中国得以实现。本文基于协整模型的统计套利策略的研究,找出中国资本市场的套利机会。通过对传统统计套利的改进,找出波动平稳的股票后建立协整方程通式,利用所得通式对任意两只成分股进行统计套利。结果发现,改进后的统计套利不仅提高了套利次数,而且使套利组合不局限于相关性最高的两只股票。同时,本文得到的协整通式对找到中国资本市场的套利机会具有一定的借鉴意义。
由于融資融券和股指期貨的推齣,使得賣空機製在中國得以實現。本文基于協整模型的統計套利策略的研究,找齣中國資本市場的套利機會。通過對傳統統計套利的改進,找齣波動平穩的股票後建立協整方程通式,利用所得通式對任意兩隻成分股進行統計套利。結果髮現,改進後的統計套利不僅提高瞭套利次數,而且使套利組閤不跼限于相關性最高的兩隻股票。同時,本文得到的協整通式對找到中國資本市場的套利機會具有一定的藉鑒意義。
유우융자융권화고지기화적추출,사득매공궤제재중국득이실현。본문기우협정모형적통계투리책략적연구,조출중국자본시장적투리궤회。통과대전통통계투리적개진,조출파동평은적고표후건립협정방정통식,이용소득통식대임의량지성분고진행통계투리。결과발현,개진후적통계투리불부제고료투리차수,이차사투리조합불국한우상관성최고적량지고표。동시,본문득도적협정통식대조도중국자본시장적투리궤회구유일정적차감의의。
Since the release of the margin trading and stock index, making the short selling mechanism can be achieved in China. Based on the research of the statistical arbitrage strategies con-integration model, the paper found out the arbitrage opportunities in China’s capital market. Through the improvement of the traditional statistical arbitrage, the research found out the smooth fluctuation stock and then established co-integration equation formula, with proceeds of the formula for any two stocks statistical arbitrage. It was found that it not only improves the times of the statistical arbitrage, but also the arbitrage portfolio is not limited to the more relevant of the two stocks. Meanwhile, the co-integration formula the paper obtained has certain significance in finding Chinese capital market arbitrage opportunities.