Combined With The Application Research Of Event-driven Matching Trading Strategy In The Foreign Exchange Market

With the continuous advancement of China's opening up process,the degree of openness of the financial industry has gradually increased,and the process of internationalization of the RMB has been proceeding in an orderly manner.The stability of the exchange rate is not only related to foreign trade,but also to the national economy and people's livelihood.As the largest investment market,the foreign exchange market has received increasing attention.As a kind of statistical arbitrage strategy,the pairs trading strategy is also very popular in the foreign exchange market.This paper combs the existing paired trading method and the theoretical analysis of event driven factors.In the normal trading time period,the paired trading method based on dynamic time window is designed.The trading time period of the non-agricultural data release event in the United States is designed separately,we design another method of pairing transactions.These two pairing trading methods combine to form the final pairing trading strategy.In the empirical part of the subject of this paper,the US non-farm payrolls data report for 2017 and 2018 is mainly used,as well as the seven direct currency pairs in the foreign exchange market from January 1,2017 to December 31,2018.The 15-minute close price series data and the 1-minute close price series data are divided into 2 different situations and corresponding time periods according to the time points at which the non-agricultural data report is released.The data of 2017 is used as the training data in the sample.In the normal trading time period,the Pearson correlation coefficient is calculated to find the trading currency pair that is most suitable for matching,and then the pairing transaction is carried out according to the set opening and closing conditions;Non-agricultural data release date,using a separately designed pairing transaction method for pairing transactions.Finally,the data of 2018 was selected as the sample test data,and finally the gain of 1071.81 spread was obtained.Comparing the fixed trading varieties with the fixed ratio of the paired trading strategy,the results of our final model performance are obvious.In the past two years,due to the impact of US interest rate hikes and Brexit,the foreign exchange market has been greatly affected.Under this condition,the annual profit of our final trading model can still have nearly a thousand points of spread,which also explains this article.The paired trading strategy is market neutral and can achieve stable returns.