摘要
在股指期货期—现跨市场套利领域,采用传统的持有至到期策略,套利机会很少且收益很低;而常见的提前平仓策略现有相关研究,一是未建立具有可操作性的模型化技术路径;二是未对提前平仓策略的高收益带来的高风险予以足够的重视;三是无法为每位投资者量身定制风险/收益配置方案。通过连续时间金融数学建模,提出基于提前平仓的风险统计套利策略模型体系,并进行实证分析。该模型体系具有4点优势:一是有望挖掘到额外的利润空间,提高风险套利收益;二是对提前平仓策略建立了具有可操作性的模型化技术路径;三是对提前平仓策略的风险进行了量化;四是建立了收益/风险配置机制,能够让套利者根据自身所处的风险偏好状态、风险承受能力、对市场的预测判断、投资经验等,来动态地自由选择符合自身需求的风险统计套利策略。
In the field of futures-spot cross-market arbitrage strategies,the traditional holding-to-maturity arbitrage strategy provides very few arbitrage opportunities and the income is very low. In this paper,through mathematical modeling,risky statistical arbitrage strategies based on early unwinding is proposed and researched empirically. And they have 4advantages：（ 1） It＇s expected to excavate additional arbitrage profit and improve risky arbitrage return（ 148% more than holding- to- maturity arbitrage strategy）.（ 2） A workable technological path for early unwinding is established.（ 3） The risk of early unwinding is quantified.（ 4） A return /risk allocation mechanism is established and which allows arbitrageurs to choose their own statistical arbitrage strategies freely based on their states of risk adverse,market forecasts /judgments,and investment experience.
出处
《金融经济学研究》
CSSCI
北大核心
2014年第4期43-55,共13页
Financial Economics Research
基金
国家自然科学基金项目(70973021)
关键词
统计套利
量化风险
提前平仓
带漂移项的吸收布朗运动
statistical arbitrage
risk quantization
early unwinding
absorbed Brownian motion with drift
