基于协整-OU过程的配对交易策略研究

›› 2017, Vol. 29 ›› Issue (9): 28-36.

基于协整-OU过程的配对交易策略研究

刘永辉, 张帝

上海对外经贸大学统计与信息学院, 上海 201620

收稿日期:2015-09-06 出版日期:2017-09-28 发布日期:2017-10-09
作者简介:刘永辉,上海对外经贸大学统计与信息学院教授,硕士生导师,博士;张帝,上海对外经贸大学统计与信息学院硕士研究生。
基金资助:
国家自然科学基金项目（11271259）。

Pairs Trading Strategies Based on Co-integration Theory and OU Stochastic Process

Liu Yonghui, Zhang Di

School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai 201620

Received:2015-09-06 Online:2017-09-28 Published:2017-10-09

摘要/Abstract

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。

关键词: 配对交易, 协整, OU过程, 量化策略

Abstract:

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.

Key words: pairs trading, co-integration, OU process, quantitative strategy

刘永辉, 张帝. 基于协整-OU过程的配对交易策略研究[J]. , 2017, 29(9): 28-36.

Liu Yonghui, Zhang Di. Pairs Trading Strategies Based on Co-integration Theory and OU Stochastic Process[J]. , 2017, 29(9): 28-36.

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