In recent years,with strict domestic financial supervision and other policy-oriented factors,some products are becoming increasingly restricted,including nonstandard products,bank-guaranteed wealth management products...In recent years,with strict domestic financial supervision and other policy-oriented factors,some products are becoming increasingly restricted,including nonstandard products,bank-guaranteed wealth management products,and other products that can provide investors with a more stable income.Pairs trading,a type of stable strategy that has proved efficient in many financial markets worldwide,has become the focus of investors.Based on the traditional Gatev-Goetzmann-Rouwenhorst(GGR,Gatev et al.2006)strategy,this paper proposes a stock-matching strategy based on bi-objective quadratic programming with quadratic constraints(BQQ)model.Under the condition of ensuring a long-term equilibrium between pairedstock prices,the volatility of stock spreads is increased as much as possible,improving the profitability of the strategy.To verify the effectiveness of the strategy,we use the natural logs of the daily stock market indices in Shanghai.The GGR model and the BQQ model proposed in this paper are back-tested and compared.The results show that the BQQ model can achieve a higher rate of returns.展开更多
基金The research is supported by the Fundamental Research Funds for the Central Universitiesthe Research Funds of Renmin University of China(No.19XNH089).
文摘In recent years,with strict domestic financial supervision and other policy-oriented factors,some products are becoming increasingly restricted,including nonstandard products,bank-guaranteed wealth management products,and other products that can provide investors with a more stable income.Pairs trading,a type of stable strategy that has proved efficient in many financial markets worldwide,has become the focus of investors.Based on the traditional Gatev-Goetzmann-Rouwenhorst(GGR,Gatev et al.2006)strategy,this paper proposes a stock-matching strategy based on bi-objective quadratic programming with quadratic constraints(BQQ)model.Under the condition of ensuring a long-term equilibrium between pairedstock prices,the volatility of stock spreads is increased as much as possible,improving the profitability of the strategy.To verify the effectiveness of the strategy,we use the natural logs of the daily stock market indices in Shanghai.The GGR model and the BQQ model proposed in this paper are back-tested and compared.The results show that the BQQ model can achieve a higher rate of returns.
