基于協(xié)整的統(tǒng)計(jì)套利之成對(duì)交易分析.pdf

1、山西財(cái)經(jīng)大學(xué)碩士學(xué)位論文基于協(xié)整的統(tǒng)計(jì)套利之成對(duì)交易分析姓名：陳冠因申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：數(shù)量經(jīng)濟(jì)學(xué)指導(dǎo)教師：高艷云200805314AbstractStatisticalarbitragehavebeenwidelyusedinthesecuritiesinvestmentinvariousfieldsindevelopedcountriesregionsbecauseofitsadvancedtradingstrategiessi

2、nceitsadvantin1980satWallStreet.AsChinaisanemergingcapitalmarketontheonehtherelevantsystembuildingisrelativelybackwardtheinvestmentstrategycannotbeusedfarbitrageinsecuritiesmarket.Ontheotherhthebackwardmaturityofthemarke

3、talsolimitsthedevelopingofrelativeacademicstudiesinthecountry.Howeverasourcountrysbuildingofamultilevelcapitalmarketisgraduallyimprovingthefinancialsystemwillalsocontinuetoimprovemanyfinancialproductswillalsocontinuetoin

4、crease.thispaperstudiesstatisticalarbitragestrategyexpecttoprovideameaningfulideasaboutmultioperationstrategiesaftertheestablishmentoffinancingSecuritiesLoaningbusinessstockindexfutures.Statisticalarbitragetheyisthegener

5、alfmofstardarbitrageisamarketneutraltradingstrategy.Itusesmarketmechanismtobringaboutashtfluctuationsimmunization.Pairstradingisafundamentalstatisticalarbitragestrategy.thechoiceofitstradingpartnersneedtomeetthelongtermc

6、ommontrendstheachievementoftradingobjectivesneedstoestablishastrictimplementationofthetradingmechanism.Sotheacademicanalysisofthispaperwillbestartfromallabovebasictheies.EmpiricalanalogpartwillbebasedonarbitragetheyofChi