統計套利下動態共整合關係之跨商品應用

Application of Cross-Commodity Statistical Arbitrage Base on Dynamic Cointegration

徐語辰(Hsu Yu-Chen)

指導教授 ： 林士貴 ； 王釧茹

國立政治大學/商學院/金融學系/碩士(2019年)

https://doi.org/10.6814/NCCU201900124

摘要

本研究根據Vidyamurthy (2004)以及後續相關文獻所提出的統計套利配對交易方法對台灣股票市場進行實證研究。本文使用的模型為Engle and Granger (1987)提出的二階段共整合檢定。我們利用上述模型檢定芝加哥交易所期貨一分鐘資料，找出具共整合性質之配對，利用技術指標－布林通道與OU過程找出價格異常的時間點進行交易，建構統計套利投資組合；本研究進一步將中位數反轉定律Andrew(2009)加入，用於預測共整合殘差走勢，建構中位數反轉定律結合布林通道與OU過程之統計套利策略並建構投資組合。實證結果顯示和Avellaneda and Lee (2010)結果相同，市場上確實存在市場中立性的報酬，且兩個策略的投資組合皆有優於大盤的績效和穩健性；此外中位數反轉定律確實有幫助我們減少進場次數提高勝率，並且使投資組合的最大虧損下降。
關鍵詞：共整合、統計套利、布林通道、OU過程、中位數反轉定律

關鍵字

共整合 ； 統計套利 ； 布林通道 ； OU過程 ； 中位數反轉定律

並列摘要

This paper used the statistic arbitrage method according to Vidyamurthy (2004) and other papers based on this book. This paper followed papers to conduct empirical research on Chicago Mercantile Exchange market. The models used in this paper is two-steps cointegration test that proposed by Engle and Granger (1987). We tested CME futures through the above models to test cointegration, and find the investable pairs. After finding out investable pairs, we used Bollinger Band and OU process to find out abnormal stock price to trade. Then we constructed the portfolio to study its performance. This study further adds the median reversal law by Andrew(2009) to predict cointegral residual and constructs a strategy with Bollinger Band and OU process model. The result shows that the strategy helping us find market neutral return, which is the same as the result of Avellaneda and Lee (2010). Furthermore, our portfolio is also better than investing in benchmark. Median reversal law truly helps us reduce trading frequency and decrease drawdown.
Keywords：Cointegration、Statistic Arbitrage、Bollinger Band、OU Process、Median Reversal Law

並列關鍵字

Cointegration ； Statistic Arbitrage ； Bollinger Band ； OU Process ； Median Reversal Law

參考文獻

[1] 陳旭昇，2013。時間序列分析: 總體經濟與財務金融之應用。臺灣東華。

[2] Andrew Pole.(2009).Statistical Arbitrage. John Wiley & Sons.

[3] Avellaneda, M. and J-H. Lee (2010). Statistical arbitrage in the US equities market.Quantitative Finance, Vol. 10(7), 761–782.

[4] Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.

[5] Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 251-276.