Please wait a minute...
浙江大学学报（理学版）
浙江大学学报（理学版）  2016, Vol. 43 Issue (3): 271-278    DOI: 10.3785/j.issn.1008-9497.2016.03.004
数学与计算机科学     
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
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
 全文: PDF(722 KB)  
摘要： 配对交易是一种非常普遍的投资策略,被广泛应用于金融市场.距离法和协整法在配对交易策略中使用最普遍,然而,这2种方法只能描述股票之间的线性相关结构.本文基于3类基本的阿基米德Copula函数构成的混合Copula,定量刻画了资产之间的条件相关性,给出了新的配对交易策略,并将其运用于高频ETF市场.实证分析表明,新的策略可以捕获更多相依信息,得到更多的交易机会.
关键词： 配对交易策略;  混合copula;  条件相关性;  高频;  ETF    
Abstract: Pairs trading is a well-acknowledged speculative investment strategy that is widely used in the financial markets. Distance and co-integrated methods are the most commonly implemented pairs of trading strategies. However, these two approaches are only able to describe the linear dependency structure between stocks. A new pairs of trading strategies based on mixture Copula method is produced. Three elementary Archimedean Copula families are used to construct mixture Copulas, which describe the conditional dependence between assets. In the high frequency exchange traded fund (ETF) market, it is deemed to catch more dependence informations and generate more trading opportunities.
Key words: pairs trading strategy    mixture copula    conditional dependence    high frequency    ETF
收稿日期: 2015-02-02 出版日期: 2016-03-01
CLC:  O213  
基金资助: 浙江省自然科学青年基金资助项目(LQ14G010007);全国统计科学研究项目(2015LY45);2015浙江省统计研究重点课题"时变混合Copula模型的构建选择及其应用";教育部人文社科基金资助项目(12YJC910011).
作者简介: 沈银芳(1978-),ORCID:http:r/orcid-org/0000-0003-2080-6530,女,博士研究生,副教授,主要从事金融时间序列分析研究,E-mail:fsilver@163.com.
服务　　
把本文推荐给朋友
加入引用管理器
E-mail Alert
RSS
作者相关文章　　
沈银芳
郑学东
徐信喆

引用本文:

沈银芳, 郑学东, 徐信喆. 基于混合Copula的ETF配对交易策略[J]. 浙江大学学报（理学版）, 2016, 43(3): 271-278.

SHEN Yinfang, ZHENG Xuedong, XU Xinzhe. Pairs trading strategy of ETF based on mixture Copula. Journal of ZheJIang University(Science Edition), 2016, 43(3): 271-278.

链接本文:

https://www.zjujournals.com/sci/CN/10.3785/j.issn.1008-9497.2016.03.004    或    https://www.zjujournals.com/sci/CN/Y2016/V43/I3/271

[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.
[1] 李昕艺, 刘三阳, 谢维. 基于共轭梯度法的感知矩阵优化方法[J]. 浙江大学学报（理学版）, 2019, 46(1): 15-21.