The Empirical Analysis Of Statistical Arbitrage In The Chinese Stock Market

The core of the statistical arbitrage is matching the establishment of the stock(Pairs Trading). On the premise of without the economic meaning, only the reasonableapplication of quantitative portfolio approach to architecture, to further the immunesystemic risk, which can get excess returns, while the income there is no or low risk.Paired trading way is mainly rely on the core concept of mean reversion, it can bedefined as market-neutral strategy. Two stocks that there is a definite relation betweeneach other, can be maintained within a certain trend. If some point influenced by somefactors and make the connecting between the two stocks appeared deviation, thenappeared the arbitrage opportunities.Chinese stock market, launched in2010"securities lending and borrowingbusiness", for the stock of statistical arbitrage strategy provides the guarantee of tradingmechanism. Statistical arbitrage as arbitrage strategy of foreign markets mature, for ourcountry’s institutional investors have certain reference value. The CSRC provisions ofthe "margin"500mark as stock pool, the correlation coefficient of two, selecting thecorrelation coefficient of the two largest stock-angang steel and equity shares inarbitrage to wisco. And then verify the there is a cointegration relationship, usingmethod of fixed parameter method, the GARCH model and Ornstein Uhlenbeck processmethod to calculate yield in samples. The results show that the fixed parameter methodyields the highest, the GARCH model and Ornstein-Uhlenbeck process method.