摘要
统计套利是一种在对过往的信息进行分析的基础之上,通过对变量概率分布的估计,并结合对基本面信息的分析,从而建立一种能够获得稳定获利的投资模型,实现降低资产价值的波动性并且提高收益率的目的。本文在明确统计套利的本质和理论依据的基础上,选定创业板ETF和中小板ETF进行两者之间的统计套利,通过对协整关系的检验确定两个标的之间的关联性,进行了基于两者价差均值回归的实证分析,并且根据历史数据交易价格的规律,提出最优化套利模型,进而探讨在目前的市场环境下能否通过在创业板ETF和中小板ETF之间进行配对交易实现低风险套利。
Statistical arbitrage is based on the analysis of the past information,through the estimation of the probability distribution of variables,and combined with the analysis of fundamental information,so as to establish a stable profitable investment model,realize to reduce the volatility of asset value and improve the purpose of the rate of return.Based on the nature and theoretical basis of statistical arbitrage,the paper chooses the gem ETF and SME board ETF to arbitrage the statistical arbitrage between the two indicators,determines the correlation between the two objects,makes empirical analysis based on the average regression of the two prices,and according to the law of historical data transaction price,puts forward the optimal arbitrage model,and then discusses whether can realize the low risk arbitrage through the gem ETF and SME board ETF in the current market environment.
出处
《福建金融管理干部学院学报》
2017年第3期17-23,共7页
Journal of Fujian Institute of Financial Administrators
关键词
ETF
统计套利
配对交易
ETF
Satistical Arbitrage
Matching transaction
