Abstract
资本市场中，套利交易是一种规避风险的重要交易方式。统计套利在近几十年来在国外资本市场十分盛行。而国内资本市场由于缺乏做空机制，统计套利等量化投资策略很难得以实现。而近年来随着融资融券和股指期货的推出，这一局面有所缓解，放开做空机制已是大势所趋。本文尝试采用统计套利的思想，利用协整模型，先在机制成熟的外汇市场进行套利检验，选取相关度较高的欧元/美元(EUR/USD)和瑞郎/日元(CHR/JPY)两个货币对在2015年5月28日20时至5月29日20时每分钟收盘价的价差时间序列进行实证研究，发现日内存在大量的套利机会，从而为今后投资者提供了一种新颖的量化投资思路。 In capital market, arbitrage is an essential trading method to avoid risks. Statistical arbitrage, which is a genre of arbitrage, has been widely utilized by foreign financial institutions since several decades ago. Since lacking of Short Hedge Mechanism, statistical arbitrage can hardly be realized in domestic capital markets. However, the situation is being relieved with the introduction of margin trading and stock index futures. And the trend to set up Short Hedge Mechanism is overwhelming. In this dissertation, we tested the arbitrage chances in forex market by adopting the thought of statistical arbitrage, combining with cointegration modeling and every minute’s closing rate of EUR/USD and CHR/JPY, which are highly correlated with each other, within 24 hours. After studying in the time series of price difference, we found that there were abundant opportunities for arbitrage. Hence, we are able to give out a novel quantified path for investors in the future.
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