摘要
通过随机模拟和实证分析,分别对基于Logistic变换和门限变换的两类非线性变换的协整分析和统计套利策略进行研究,讨论非线性时间序列的线性变化方法,给出协整分析的步骤,并制定相应的统计套利策略.最后分别对中国银行、农业银行、中国石化与中国人寿5分钟股票价格数据进行实证分析,结果表明该策略具有较好的盈利能力.
The statistical arbitrage strategy with co integration analysis of two kinds of non linear transforms based on Logistic and threshold transformation are studied respectively through simulation and empirical research.The linearity of nonlinear time series,the method of co integration analysis and the corresponding statistical arbitrage strategy are given.In empirical analysis,the five minute stock price data of Bank of China,Agricultural Bank of China,Sinopec and China Life Insurance are analyzed respectively.The results show that the strategy has good profitability.
作者
宫冉冉
陈雪东
GONG Ranran;CHEN Xuedong(Faculty of Mathematics and Information Engineering,Zhejiang Normal University,Jinhua 321004,China;School of Science,Huzhou University,Huzhou 313000,China)
出处
《湖州师范学院学报》
2019年第4期6-16,共11页
Journal of Huzhou University
基金
国家自然科学基金项目(1171105)
关键词
协整
非线性协整
LOGISTIC回归
门限自回归
cointegration
nonlinear cointegration
logistic regression
threshold autoregression
