摘要
配对交易是一种风险中性的量化交易策略。通过对配对交易理论基础的分析以及实际市场的大量观测,本文在Bertram(2010)工作的基础上,提出了一种新的配对交易执行方式。实证分析进行了模拟交易,并对比分析了各种方法的优缺点,结果表明本文提出的基于协整-OU过程的配对交易策略与传统的OU配对交易策略、协整配对交易策略相比,总体上,策略的效果较稳健,在承担合理风险下具有较高收益。
Pairs trading is a type of risk-neutral quantitative strategy. By analyzing the pairs trading principal and observing the actual market data,this paper proposes a new type of execution methods for pairs trading strategy based on the work carried out by Bertram（ 2010）. Using the out-of-sample data to simulate real trading and demonstrate the pros and cons of different methods,we find that the trading strategy based on co-integration theory and OU stochastic process has a better returns expectation given the same risk exposure and the result of the strategy is solid.
出处
《管理评论》
CSSCI
北大核心
2017年第9期28-36,共9页
Management Review
基金
国家自然科学基金项目(11271259)
关键词
配对交易
协整
OU过程
量化策略
pairs trading
co-integration
OU process
quantitative strategy
