证券市场的高频统计套利策略研究——基于Fama-French三因子模型

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摘要通过Fama-French三因子模型优化统计套利策略,增强配对股票间长期均衡关系的解释力度,利用A股市场同行业内系统聚类分析所得股票组合检验套利效果的结果表明,基于Fama-French三因子模型的统计套利策略具有持仓周期短、交易机会多、累计收益率高的特点。

作者张戡谢琳

机构地区中南财经政法大学金融学院

出处《金融教学与研究》 2014年第3期33-38,共6页 Finance Teaching and Research

基金中南财经政法大学基本科研业务费项目(31540910508) 湖北金融研究中心2011年研究项目(2011005) 中南财经政法大学引进人才启动金项目(90407001105)

关键词统计套利系统聚类三因子模型高频数据

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