Statistical Methods In Pairs Trading Strategy And Their Realization Using R

In the unilateral market,investors' asset returns are often subject to market volatility.In the irrational market,the risk of such volatility is particularly difficult to avoid.The idea of pair trading provides a hedge and profit strategy for this dilemma.Pair Trading is one of the statistical arbitrage strategies,and it usually two screening price in the same industry,they have the equilibrium relationship of the listed company,the relatively strong short stock and long relatively weak stock,the two shares return to equilibrium value,stock price changes to earn two positions returns.It is also known as statistical arbitrage trading is a small risk and stable income market neutral strategy.In this paper,we wish to study how to design a pair of trading strategies based on the cointegration relationship and build an empirical model to verify it.For the selected two stocks(China Minsheng Banking Corp,Shanghai Pudong Development Bank)to be matched,the trading strategies are proposed.It is concluded that the pair trading strategy has a higher rate of return as compared to single stock trading.All of these will be realized by using R language.This thesis is mainly divided into three parts.Firstly,after introduction of the data source and selection rules for pairing,we select the stock pair from the stock pool by using cointegration test;Secondly,paired stock selection of good develop trading strategies;finally,analysis on the selection of the target stock for empirical,paired trading results analysis,research and empirical pairing will return and single stock trading transactions after the rate of return.This paper expounds the arbitrage of merger and acquisition,and carries on the empirical research on the A stock market through the method of pair trading,which can provide a meaningful reference for the study of the effectiveness of the transaction,which reflects the theoretical valueThe empirical results show that the pair trading strategy is effective and is able to get a higher yield than single stock,and trading strategies can achieve a 20% gain in about five weeks.In this paper,we adopt the pure quantitative research method,and suggest that investors should pay close attention to the changes of the basic aspects of the listed companies in the actual combat.Through the empirical analysis of xuanhua construction a major reorganization of assets,in pairs trading investors,should always pay attention to affect the company's major news,early exit exit,rather than wait until more than set the model for open line operation only.So investors can make use of the principle of matching transactions,will hold the hands of the stock and the stockmarket on the right to match the stage of replacement,to achieve a combination of revenue enhancement.