| Many investors are wondering whether the market can be defeated,presence of abnormal returns on the futures market,investors can reap excessive profits from these anomalies.In an efficient market hypothesis based on traditional financial theory holds that securities prices are random walk that investors cannot use historical data to reap excessive profits,a passive investment strategy is considered to be the best investment strategy.However the reality of phenomena to challenge conventional financial theory,empirical analysis so that we get a lot of conflicts with the efficient market hypothesis share price anomalies between stock returns and past are not completely independent.These anomalies in the equity premium puzzle,the volatility of the mystery,forecasting,mystery,mystery of mystery of closed-end funds,dividend,mystery of the scale are the traditional asset pricing model and financial theory to solve.Empirical results show that these anomalies builds investment strategies can get the benefit exceeded the market average.The momentum of one of the most notable is the short term and long-term cycles.Trend investments vulnerable to the impact of the overall trend of the market,such as the bear turned bull or bull market turns bearish impact.When the market is in a bull market and bear market trend investing really sought after by many investors,but most of the time trend of the market is not particularly clear,investors are looking for a new approach to investment,but this method can outperform the main investment.This is what we're going to introduce a quantitative approach to investing--pairs trading strategy.This investment strategy is market neutral,when market trend is unknown especially suited as investment strategies.Pairs trading strategies trading mechanism in introducing the theory of momentum effects(high price to buy)and contrarian theory(sold)after effects better.Pairs trading strategy in foreign markets has developed a more mature,is one of the important strategies of quantitative hedge funds in China.With the 2010 launch of stock index futures and margin trading business,quantitative hedge has the prerequisites for implementation of investment strategies,quantitative hedge fund has been rapid development in China.Domestic hedge fund company,in addition to the use of overseas investment strategy,also developed in line with the investment strategy of China's capital market.Pairs trading strategy is a strategy more common is a relatively simple,it is a kind of statistical arbitrage strategies,looking for two shares of stock prices are highly correlated.Dang both of price poor fluctuations rate over a a threshold value Shi,long(short)recently relative strong of stock,while short(long)relative vulnerable of stock,to both price poor again balanced Shi,flat warehouse earned two only stock price poor changes of returns,dang price poor fluctuations to negative even below a a negative of valve value Shi,is short(long)recently relative strong of stock,while long(short)relative vulnerable of stock.On the price difference can be seen as a kind of products sold at low prices(buying),and abnormal high price to buy(sell)for a profit.Paired trading due to while short and long related degrees high of two species stock(including bonds,and Fund,and derivative products),so hedge off has most market risk,is a market neutral of investment strategy,by market trend effect smaller,especially in market no obviously trend investment opportunities Shi,paired investment strategy can avoid by stock(debt city,Fund and the derivative products market)system risk of effect to gets are alpha absolute returns.Although paired trading strategy in stock Shang using compared more,but paper prepared research China bonds futures market Shang paired trading strategy,reasons has following several points:first,stock market easily short,and futures market market can two-way trading,this makes paired strategy trading of liquidity get has guarantee,but futures market also will faced due performance of problem,here to research convenient,we temporarily assumed not due performance or trading can round moving for.Secondly;stock shorting the cost is much higher than futures markets,for high-frequency trading,the key is to control the transaction costs,due to the number of transactions,transaction costs can consume a large portion of profits,so this study of Treasury bond futures market.Again,the single variety of the stock market,futures market could be spread across varieties,cross-marketing and other pairs trading strategy.Finally,the futiures market itself operational and lever effects,so that profits can be expanded to several times.Can see from the description before,suitable for pairs trading shares on their relative value must be a stationary time series.Shares to the value of the time series is a random walk,which is a non-stationary time series.In simple terms,stationary time series time series.Econometricians Engle and Granger found,however:two linear combination of non-stationary time series it is possible to obtain a stationary time series.Y_t-beta x_t is stationary time series which y_t,x_t for non-stationary time series.This article from the perspective of empirical study in Treasury bond futures market,TF1703,TF1706,TF1709,T1703,T1706,T1709,species pairs trading strategy of profitable results.Paper intends to from six a part described China bonds futures market Shang using paired trading investment effect:first part introduction,introduced research background,literature reviewed and the both at home and abroad of research results;second part introduced paired trading strategy of history,features,and the paired process;third part tells has China bonds futures market Shang can has across period,and across market,and across varieties,variety investment strategy;IV part Shi using model and back measuring of results;v part tells solid test and the name perceptual analysis;sixth Department points obtained conclusion,Inadequate follow-up and problems to be solved.This paper builds models and matching based on the degree of liquidity,the final choice,T1706,TF1706 and T1706 and T1709 as the subject of an in-depth study.Historical data is divided into two sections,with samples after a period of policy evaluation(Out-of-Sample Testing).Optimization of model parameters using the previous piece of data(called the training set[training set]),the model has been testing the effects of a piece of data(called the evaluation set[test set]).After getting the back-test results continue to sample parameters were specified perceptual analysis in this paper,change threshold values,respectively the size of average distance and to analyze the results of the matching policy,pairs trading strategy in the China's Government bond futures market to make a good income.However,in the case of transaction costs there,we believe that the number of transactions(that is,selection of optimum threshold)occupied by the cost and profit earned on the buy and sell points existed before a weighing process,namely,cases for a given transaction costs,to find the optimal threshold,enable the portfolio to achieve maximum benefits. |
PDF Full Text Request