中国市场ETF套利研究

ETF arbitrage research on China financial markets

首先提出了一个描述配对资产之间价格关系的新模型a_x(t)X_t-a_y(t)Y_t=m_t+s_tε_t,其中X_t与Y_t表示两个资产在t时刻的价格,a_x(t)与a_y(t)表示资产配对系数,m_t表示长期趋势,st表示残差的标准差,εt为标准化的残差.当系数a_x(t)与a_y(t)固定,s_t与趋势项mt保持恒定时,模型可退化为一种两变量的的协整模型.然后基于这个新模型,提出了一种利用平稳过程{ε_t}进行套利的高频交易方法,并将此方法应用到中国市场流动性较强的三只ETF(ExchangeTraded Fund)基金中,对其进行两两配对套利,均取得较高的且非常稳定的理率收益。

This paper first proposed a new model to describe the relationship between two paired asset prices：a_x（t）X_t—a_y（t）Y_t = m_t ＋ s_tε_t,where X_t and Y_t denote the prices of two paired financial assets at time t,a_x（t） and a_y（t） the matching coefficients,m_t the long-term trend,s_t the standard deviation of residual,andε_t the standardized residual. When a_x（t）,a_y（t）,m_t and s_t are constants,the model is reduced to a kind of two-variable cointegration model.Based on this new model,the paper proposed a statistical arbitrage method for high-frequency trading using the stationary process {ε_t}.As its application, this method was used on three major ETFs in China financial markets and achieved very stable and high revenue on all three pairs.