数学与计算机科学 |
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基于混合Copula的ETF配对交易策略 |
沈银芳1, 郑学东1, 徐信喆2 |
1. 浙江财经大学 数据科学学院, 浙江 杭州 310018; 2. 上海交通大学 安泰经济与管理学院, 上海 200052 |
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Pairs trading strategy of ETF based on mixture Copula |
SHEN Yinfang1, ZHENG Xuedong1, XU Xinzhe2 |
1. School of Date Sciences, Zhejiang University of Finance and Economics, Hangzhou 310018, China; 2. Antai College of Economics & Management, Shanghai Jiao Tong University, Shanghai 200052, China |
[1] VIDYAMURTHY G. Pairs Trading: Quantitative Methods and Analysis[M]. NewYork:John Wiley and Sons,2004. [2] ELLIOTT R, VAN DER HOEK J, MALCOLM W. Pairs trading[J]. Quantitative Finance,2005,5(3):271-276. [3] GATEV E, WILLIAM N, GOETZMANN K, et al. Pairs trading: Performance of a relative-value arbitrage rule[J]. The Review of Financial Studies,2006,19(3):797-827. [4] FERREIRA L. New tools for spread trading[J]. Futures,2008,37(12):38-41. [5] LIEW R Q, WU Yuan. Pairs trading: A Copula approach[J]. Journal of Derivatives and Hedge Funds,2013,19(1):12-30. [6] STANDAER Y, MARAIS D, BOTHA I. Trading strategy with Copulas[J]. Journal of Economics and Financial Sciences,2013,6(1):83-108. [7] 张戈,程棵,陆凤彬,等.基于Copula函数的程序化交易策略[J].系统工程理论与实践,2011,31(4):599-605. ZHANG Ge, CHENG Ke, LU Fengbin, et al. Program trading strategy based on Copula functions[J]. Systems Engineering-Theory and Practice,2011,31(4):599-605. [8] 张连华.基于高频数据的股指期货期现统计套利程序交易[J].计算机应用与软件,2011,28(9):93-95. ZHANG Lianhua. High frequency data based stock index futures present statistical arbitrage program trading[J]. Computer Applications and Software,2011,28(9):93-95. [9] 陈怡.统计套利策略在我国分级基金市场的尝试[J].科学技术与工程,2012,12(3):724-729. CHEN Yi. The trading strategy of split-funds based on statistical arbitrage[J]. Science Technology and Engineering,2012,12(3):724-729. [10] 陈实,吴述金,郑伟安.中国市场ETF套利研究[J].华东师范大学学报:自然科学版,2013(5):144-151. CHEN Shi, WU Shujin, ZHENG Weian. ETF arbitrage research on China financial markets[J]. Journal of East China Normal University:Natural Science,2013(5):144-151. |
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