從成對(duì)交易到動(dòng)量檢驗(yàn)——統(tǒng)計(jì)套利的學(xué)習(xí)與應(yīng)用.pdf

1、浙江大學(xué)理學(xué)院碩士學(xué)位論文從成對(duì)交易到動(dòng)量檢驗(yàn)——統(tǒng)計(jì)套利的學(xué)習(xí)與應(yīng)用姓名：徐光梅申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：運(yùn)籌學(xué)與控制論指導(dǎo)教師：李勝宏20080501浙江大學(xué)碩士學(xué)位論文AbstractWiththefastdevelopmentofComputationalFinanceandthesuccessfulapplicationofstatisticalarbitragemethods，statisticalarbitragemetho

2、dsandmodelsarcreceivingmoreandmoreattentionfrombothscholarsandinvestorsThispaperaimstolearnandstudystatisticalarbitragefromthedemonstrationpointofviewOnthebasisofthetheoryknowledge，wewillexplainthewaysandlne鋤rlSofstatist

3、icalarbitragebythedemonstrationofthepairtradinginthestockmarketandthemomentumtestinShanghaistockmarketInthedemonstrationofthepairtradinginthestockmarketwechooseShanghaiPudongDevelopmentBank(600000)andChinaMerchantsBank(6

4、00036)20062007twoyearsdallyclosingquotationsOnthebasisoftheoldmethod，weintroducethetimerelativevariancewhichiscalculatedfromtheGARCHmodeltothetradestartconditionandstoploseboundaryMarkstrategy1andstrategy2respectivelyfor

5、different啪ofsimplestandarddeviationandtimerelativestandarddeviationThedemonstrationresultsdisplaythatthetwostrategieshavesmallvolatilities，explainingthereceiptsarebothsteady；atthesametime，smallbetasaccordwiththemarketneu

6、tralorientationofstatisticalarbitrage：Besides，thetradechancesofstrategy2(16)ismuchmorethanthatofstrategy1(3)，andthereceiptofstrategy2is2869％，whichisbiggerthanthatofstrategy1(336％)Theresultilluminatesthattheeffectofstrate

7、gy2withthetimerelativestandarddeviationbasedonGARCHmodelovermatchesthatofstrategy1withsimplestandarddeviationInthedemonstrationofthemomentumtestinShanghaistockmarketweintroducethemarketneutralpropertyofstatisticalarbitra

8、getotheinvestmentportfolioOntheassumptionthattheportfoliocancreatestatisticalarbitrageopportunityweestablishtheinvestmentportfolioThen，wetestthepayoffofthemomentumstrategyintheholdingperiodsIntheend，wejudgewhetherthemark

9、ethasmomentumeffectanditssizeThemaincontributionofourapproachisthatweconsiderstatisticalarbitragemodels雒constrainedoptimizationproblemsTheconstraintsincludeZerobetaoftheportfoliowithrespecttomarketandzerocostofthestrateg

10、yWeareconsideringportfolio’Svariance，themeasureofriskThedemonstrationresultsshowthat①shorttermmomentumeffectofShanghaistockmarketisnotclearbutcontrarianeffectisvisible；②mediumtermmomentumeffectcorrespondingthe26weekshold