专注论文查重修改6年+经验

配对交易:不同策略下的报酬表现

【中文摘要】:本文主要目的是利用配对交易具有均数复归的特性,捕捉此特性并观察其交易绩效;此研究的配对交易策略主要参考Gatev, Goetzmann, and Rouwenhorst (1999),虽然他们使用的交易策略简单明了,却可以获得相当不错的报酬,经过了15年,我们重新测试了此策略,并且额外做了一些模型的延伸。
我们使用台湾证券交易所2002年1月到2013年12月的调整后股价日资料,此资料经由台湾新报资料库(TEJ)取得,交易策略方面主要参考Gatev, Goetzmann, and Rouwenhorst (2006),此外还做了约略7种的交易策略探讨,其中主要分成两部分,首先是在交易期间设置不同的进出场门槛,例如我们在交易策略中加入了可以有效提升胜率的停损机制;另一部份,我们花较多心力在「如何选择好的配对」,经由实证结果可知,使用两阶段策略所挑选出的配对具有较好的绩效表现,由2010年1月到2013年12月的测试可得年化报酬2.39%以及标準差0.1770。
【英文摘要】:The original research was conducted by Gatev, Goetzmann, and Rouwenhorst (1999) in which they used a very simple pairs trading rule to make a profit. After 15 years I test this strategy and extend this model in the Taiwan market.
In this study I perform a “pairs trading” strategy based on a comparative mean reversion of asset prices with daily data over the period January 2002 to December 2013 in the Taiwan Stock Exchange (TWSE). Our strategy depends on Gatev, Goetzmann, and Rouwenhorst (2006) and extends to several different strategies. There are two major parts in my research; first I set different thresholds in the trading periods and I observe that stop loss conditions can efficiently increase probability of earning a profit. Second, I focus more effort on how to select better pairs in the formation period, and subsequently examine a two-step method to select pairs. Finally, the results indicate that pairs produced a p.a. rate of return of 2.39% and standard deviation of 0.1770 for the period from January 2010 to December 2013.
【参考文献】:

  • Yu, F. 2006. “How Profitable Is Capital Structure Arbitrage?” Financial Analysts Journal, Volume 62, Issue 5, pp. 47–62.
  • Vidyamurthy, G. 2004. “Pairs Trading Quantitative Methods and Analysis.” New Jersey: John Wiley & Sons.
  • Perlin, M. 2009. “Evaluation of Pairs Trading Strategy at the Brazilian Financial Market.” Journal of Derivatives and Hedge Funds, Volume 15, Issue 4, pp. 122-136.
  • Perlin, M. 2007. “M of a Kind: A Multivariate Approach at Pairs Trading.” Working paper, Reading University.
  • Papadakis, G., and P. Wysocki. 2007. “Pairs Trading and Accounting Information.” Working paper, Boston University School of Management and MIT Sloan School of Management.
  • Mitchell, M., T. Pulvino, and E. Stafford. 2002. “Limited Arbitrage in Equity Markets.” Journal of Finance, Volume 57, Issue 2, pp. 551–584.
  • Kondor, P. 2009. “Risk in Dynamic Arbitrage: The Price Effects of Convergence Trading.” Journal of Finance, Volume 64, Issue 2, pp. 631–655.
  • Hogan, S., R. Jarrow, M. Teo, and M. Warachka. 2004. “Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies.” Journal of Financial Economics, Volume 73, Issue 3, pp. 525–565.
  • Hong, G., and R. Susmel. 2003. “Pairs-Trading in the Asian ADR Market.” Working paper, Saginaw Valley State University, and University of Houston.
  • Gatev, E., W. Goetzmann, and K. Rouwenhorst. 2006. “Pairs Trading: Performance of a Relative-Value Arbitrage Rule.” Review of Financial Studies, Volume 19, Issue 3, pp. 797–827.
  • Gatev, E., W. Goetzmann, and K. Rouwenhorst. 1999. “PairsTrading: Performance of a Relative Value Arbitrage Rule.” Working paper, Yale School of Management.
  • Engelberg, J., P. Gao, and R. Jagannathan. 2009. “An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information and Liquidity.” Working paper, University of North Carolina at Chapel Hill, University of Notre Dame, and Northwestern University.
  • Do, B. and R. Faff. 2010. “Does Simple Pairs Trading Still Work?” Financial Analysts Journal, Volume 66, Issue 4, pp. 88–95.
  • Andrade, S., V. di Pietro, and M. Seasholes. 2005. “Understanding the Profitability of Pairs Trading.” Working paper, University of California, Berkeley, and Northwestern University.
  • Abreu, D., and M. Brunnermeier. 2002. “Synchronization Risk and Delayed Arbitrage.” Journal of Financial Economics, Volume 66, Issue 2, pp. 341–360.
  • 来源:中山大学;作者:潘信佑
    文懂论文-重复率修改第一品牌,http://www.szwox.com解决论文查重论文降重复,重复率高等各种论文难题的专家

    最新文章

    • 什么是学术不端行为
      什么是学术不端行为
      什么是学术不端行为 1992 年,由美国国家科学院、国家工程院和国家医学研究院组成的 22 位...
    • 论文降重复服务 1. 本网站及服务 szwox.com提供哪些服务? szwox.com是一个...

    联络我们

    QQ: 767326772
    文懂论文
    网站:http://www.szwox.com/
    E-mail: turuinit@foxmail.com

    我们的服务

    我们提供毕业论文、期刊论文、硕士论文、博士论文、会议论文格式排版,论文查重,重复率修改等服务。强大论文查重系统,一手老师资源,首创安全保密查重修改流程。充分保障客户论文查重安全以及修改后的品质,赢得了老师和同学们的信任和口碑。