Statistical Arbitrage On Bank Stocks

This paper based on the high-frequency data collecting bank stocks from July2,2012to July31,2013five minutes, combining the trading data of banking stocks thestatistical arbitrage is studied. First through the transaction data and the data ofsecurities lending and borrowing during the study period, we discussed possibility ofstatistical arbitrage. Calculating correlation coefficient between the bank stocks andselecting statistical arbitrage portfolio, we set up the cointegration model. Thevariance ratio method is applied to determine the trading signals, then analyzing theprofit of arbitrage selected transactions. According to the statistical arbitrage results,we conduct a comprehensive assessment of various statistical arbitrage portfolio byentropy method. Finally, according to the evaluation results, some investmentadvices are gived to investors.The statistics arbitrage on bank stocks has reached some conclusions: margintrading has achieved great development since launching later, but the volume oftransactions margin trading relative to the financing transaction is also very small,the implementation of statistical arbitrage space is relatively small; theimplementation of statistical arbitrage can make investors more than the marketprofit on bank stocks in statistics; During selected combination of statisticalarbitrage, Societe Generale Bank and Shanghai Pudong Development Bankachieving the best score is worth the investment focus...