Pairs Trading Investment Research Based On Cointegration

Statistical arbitrage is a way to avoid market risk, risk-free profits generated trading strategies. Among them, the pair trading is a statistical arbitrage trading strategies. With the introduction of margin trading, short selling can be run in the Chinese stock market, so pair traded in the Chinese market applications can be achieved. Based on existing research literature on pairs trading to integrate and analyze,In this paper, pairs trading strategies and methods of presentation are summarized. Among them, This paper describes the pairing transaction cointegration. In banking, for example, the correlation analysis of two banking stocks selected from alternative banking stocks, In the two banking stocks after a preliminary analysis, based on cointegration theory, first, to the two banking stocks unit root test, secondly, to the two banking stocks cointegration, once again, for two banking stocks using error correction model to calculate the relevant parameters, empirical research investment by the two banking stocks traded pair, and the conclusions were summarized and analyzed, provide reference for investors.