| Hedge fund is a relatively important and cutting-edge strategy in the investment community,which often used to reduce risks.Pairing transaction is a form of hedge fund.Pairing transaction is simple and easy to operate,and easy to be understood.At present,many foreign scholars have studied more on pairing transaction,so China is following up on such research.Although there are still some shortcomings compared with foreign countries,another level is a new starting point for China’s investment and financing community.There are still some questions by looking at the material and paper,we can see that many scholars have conducted research on paired trading strategies based on stocks with high stock market correlation.Few scholars have made targeted analysis of A-share market matching trading strategies.This paper will analyze the stock market matching strategy of the constituents of the CSI 100 Index in the Shenzhen-Shanghai A-share market by dividing the β-factor and make suggestions for improvement.Firstly,the relevant materials are consulted,and the literature on stock pairing trading strategies is downloaded in the database of How Net,Wei Pu,Wan fang,etc.,and the construction of stock pools,stock portfolio methods,paired trading strategies,pairing models and empirical analysis are extracted from the scholars’ literature.And other information,sort out the research ideas and research methods of this article.The methods for constructing the stock pool in the literature include selecting the stock market index,fixed stocks and stock pools.The stock matching methods are combined randomly,or paired by risk coefficient.The selected stocks are paired with trading strategy is mainly the GGR strategy.Secondly,the research model of this paper is determined as linear regression model and matrix paired transaction model.The research data is fro m the daily data of Wind and Shenzhen Stock Exchange from 2016 to 2018.The manual data is collected and calculated in excel.Using Eviews for linear regression analysis and statistics,using Matlab and some python related languages to write applications in the idea software,input commands to get the corresponding results.Thirdly,based on the prediction results,we will discuss again to determine whether the research direction and research methods of the article are reasonable.Finally,based on the results of empirical data,it is found that the correlation between the paired trading strategy and the market is not high,the income of the paired trading strategy is more stable,the success rate of the paired trading strategy is higher,and the usage rate and success rate of the HER strategy are higher.The GGR strategy and the improved HER strategy risk is lower than the GGR strategy.Therefore,it is suggested that follow-up stock matching research should deepen the optimization of algorithms and parameters,increase the choice of paired trading strategies,enhance the awareness of investment risk response,strengthen the professional skills of investment and financing business,deepen the research of matching trading field,and enhance the innovation awareness of investment and financing trading strategies. |
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