Research On The Cointegration Relationship Arbitrage Of Structured Fund

Structured funds have been in the spotlight for nearly a decade since they were listed on an exchange in 2009.From the perspective of investors with general risk preference(willing to take normal fund risks)and investors with risk preference(willing to take leveraged fund risks),this paper explores whether these two groups have long-term sustainable arbitrage opportunities when holding structured funds and Leveraged assets.First of all,this thesis introduces the concept and the overall market situation of the structured fund.The emphasis is on the mathematical relationship and characteristics of the structured funds in the two arbitrage modes.Secondly,this thesis introduces the theory of statistical arbitrage,cointegration relationship arbitrage,structured fund cointegration relationship arbitrage model and leveraged fund cointegration relationship arbitrage model.Explain and indicate the risk points.Thirdly,this thesis divides the data into learning sets and test sets for empirical analysis of the above models.In the empirical study,the experimental object is selected according to the rules,the time series is tested,the general law of the learning sets is found,and the verification is performed in the test sets.Finally,this thesis summarizes the empirical research of the whole paper,focusing on the selection of assets of arbitrage subject,selection of data of learning set and test set,selection of open position,closing position and stop loss interval,risk control and cost-return discount,and puts forward suggestions on the future development of structured funds.