The Research On Statistical Arbitrage Strategy Of The Quantitative Investment Base On The Threshold Model

In 1971,Barclays investment management companies launched the world's first index fund,this is the beginning of quantitative investment.During 30 years development,the quantitative investment has become another important method of investment in the foreign ca-pital market.comparison with our country,quantitative investment still in its infancy.Before the stock index futures launched in 2010,our country has not quantitative investment in the real sense.however,Foreign development experience told us,quantitative investment is the necessary method of the quantitative investment.It has important significance.“Quantitative investment is an investment method which is on the basis of the data,quantitative model and computer progress”,quantitative investment can overcome the shortco-ming of the traditional qualitative investment which it could be interference by subjective factor in the process of investment,and can grasp the market opportunities,also can control the risk.In this paper,we used theoretical research and empirical analysis,comparative analysis method.Totally we want to present an overall framework of quantitative investment for the reader and the effective of the quantitative strategy.The core content of this paper as the following.(1)Summarizing the research results of scholars over home and abroad,we got the overall progress of quantitative investment.So the readers can form a whole concept about the quantitative investment.(2)This paper studies an important branch of quantitative investment strategy: statistic-al arbitrage strategy.Then we introduce three kind of cointegration arbitrage strategies and the way how to build them.(3)By choosing appropriate research objects and the sample data,we build a traditional co-integration strategy and a threshold cointegration strategy in detail.Then we compared the arbitrage results of the two strategies.