摘要
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.
出处
《华东师范大学学报(自然科学版)》
CAS
CSCD
北大核心
2013年第5期144-151,共8页
Journal of East China Normal University(Natural Science)
关键词
高频交易
统计套利
平稳过程
high frequency trading
statistical arbitrage
stationary process