基于股票配對策略的動態(tài)資產(chǎn)配置研究

1、學(xué)校代碼：10270 分類號：O29 學(xué)號：142200635碩 士 學(xué) 位 論 文基于股票配對策略的動態(tài)資產(chǎn)配置研究學(xué) 院 ： 數(shù) 理 學(xué) 院專 業(yè) ： 應(yīng) 用 數(shù) 學(xué)研 究 方 向 ： 金 融 數(shù) 學(xué)研究生姓名 ： 周 睿指 導(dǎo) 教 師 ： 張 寄 洲完 成 日 期 ： 二 零 一 七 年 三 月AbstractPair trading is the trading stratrgy,which is firstly created

2、 by Wall Street trader Jesse Liver-more. With the rapid development of computer technology, Pair trading is more and more widelyused in the financial markets. Since March 2010, the securities market in our country have c

3、arriedout margin trading and stock index futures business, which provided the premise and foundationfor the pair trading strategy in the implementation of the securities market in our country. there aretwo major classes

4、in the current study of pairs trading. The first is the one that focus on statisticsand data mining method to realize pair trading. The other is the one that focus on equation methodto realize pair trading. One of the fi

5、rst kind of research is more widely used in application,but ithas a mainly imperfection that it is unable to control risk by determing the number of the pairunderlying.In this paper, we use the sencond one which is focus

6、 on equation method to study the optimalstrategy on the condition, which pair spread meet the O-U process. Unlike previously some schol-ars research content, we consider stoping loss and checking surplus stratrgies in th

7、is paper. In thethird section, we established HJB equation which satisfy the optimal control. But this equationis diffcult to find the analytic solutions. So we use the finite difference method to detemine thenumerical s

8、olution of the HJB equation. In order to keep the matrix positive semidefinite, we usewide stencil method to establish the HJB equation’s numerical scheme, so that we established anolinear algebraic equations which is ap

9、proximate to the HJB equation. After that we use iter-ation method and PCG method to the algebraic equations. Then we make a numerical analysis.In the forth section, we prove the consitent, the monotonivity, the stable,

10、the convergence of thescheme and the iteration method that has been established in the third section. In the fifth secton,we further expanded the model of the optimal strategy which is based on pair trading. We usethe me

11、an variance model as the aim of investors. Also considering stop check and surplus checkstrategy, we established the HJB equation and uesed method which was applied in the third sectionto solve the numerical solution of

12、the equation. In the end, we maked a numerical analysis. Wecompared the optimal strategy of the third chapter and the fifth chapter of the differences as theother parameters were the same.Key Words: Pair trading; optimal