摘要
对基于协整理论的配对交易策略进行了改进.改进后的模型利用计算机能够快速循环运算的特点,循环查找最优配对组合与建仓阈值,使模型能够快速运用到各类资产及多种数据频率的配对交易中,具有根据数据变化进行自我动态修正的功能.
This paper is aimed at improving pairs trading strategy based on the cointegration theory.The improved model loops and searches for the optimized pairs and transaction threshold by taking advantage of the rapid loop calculation of computer,which accelerates its application in pairs trading of assets and data frequency of various kinds.The model has the function of dynamic self-correction in accordance with the data changes.
出处
《经济数学》
2015年第1期65-69,共5页
Journal of Quantitative Economics
关键词
协整模型
配对交易
遍利性
cointegration model
pairs trading
ergodic research
