摘要
统计套利首先需要找到具有高相关性,且价格有长期均衡关系的两个金融资产,我们尝试从产业链的视角来寻找这样的资产组合.我们对基于铜产业链的跨市场统计套利进行了实证检验,实证结果表明:我国的铜期货市场经过多年发展,初步具备了价格发现功能,铜期货价格与相关上市公司股票价格间存在着长期均衡关系.基于铜产业链的跨市场统计套利在实践上是可行的.
When we use statistical arbitrage, we need to find two financial assets that have high correlation and that their prices have long term equilibrium relationship. This paper tries looking for such a portfolio from the perspective of industrial chain and does an empirical research of cross market statistical arbitrage based on the industrial chain of copper. The empirical results show that after years of development, copper futures market has the function of price discovery. Cross market statistical arbitrage based on the industrial chain of copper is feasible.
出处
《西南民族大学学报（自然科学版）》
CAS
2013年第3期432-437,共6页
Journal of Southwest Minzu University(Natural Science Edition)
关键词
统计套利
协整
产业链
跨市场
~tatistical arbitrage
cointegration
industry chain
cross market
