Research On The Matching Trading Strategy Of Real Estate And Construction Stocks

Since 2020,the epidemic is rampant,the crude oil price fluctuates violently,the U.S.stock market has experienced four fusions,and the world economy continues to decline,causing a large number of financial institutions and small and medium investors to suffer huge losses,which makes investors more and more want to obtain stable investment income.The matching trading strategy can solve this demand of investors.As a kind of statistical arbitrage strategy and market neutral strategy,it is widely used.It is through the establishment of the price trend of similar stock pairs of short positions,with the change of the market,from the average recovery characteristics of the stock spread to obtain income,so as to effectively avoid most of the risks of the market,basically not affected by the market trend.Even if the market as a whole goes down,it can still get stable income.Paired trading is very suitable for individual investors who lack resources and computing power,and it is more suitable for the stock market which is constantly fluctuating in the post epidemic era.There are innumerable trading modes of statistical arbitrage,A large number of highly educated traders and researchers carry out statistical arbitrage trading by using their advanced mathematics knowledge and technology,but most of them produce losses to varying degrees.Therefore,as Einstein said,"everything should be as simple as possible until it can no longer be simple." statistical arbitrage The method should be as simple as possible.This paper selects the relatively simple market neutral strategy in the statistical arbitrage,cointegration matching trading strategy,to study the matching trading of real estate stocks and construction stocks,in order to give a reasonable reference to the individual investors who are interested in quantitative trading investment.Individual investors can make simple adjustments to this strategy,such as shortening the holding period,changing the time point of opening and clearing positions If the investors are diligent enough and innovative enough to make various changes to the basic strategy,they can certainly build a high profit strategy suitable for themselves.Because the real trick of quantitative investment is to transform the underlying strategy and use it to make money.In this paper,the top 10 stocks of the real estate and construction industry in the Shanghai and Shenzhen 300 index are selected as the research objects,and the cointegration method is used to design the matching trading strategy.In the process of designing the matching trading strategy,firstly,we construct the correlation coefficient matrix for 10 stocks,use the correlation coefficient as the index to select the matching stocks,and select three pairs of stocks with the strongest correlation among the real estate industry,the construction industry,and the real estate industry and the construction industry as the matching stocks.Then we use the co integration method to design the matching trading strategy for the three pairs of stocks and make an empirical study,and finally make a comparison Three pairs of stock matching trading strategy effect.By comparing the empirical results of three pairs of stock portfolios,we get the following conclusions:(1)in the A-share market,the three pairs of stocks selected from the real estate,construction,upstream and downstream industries of real estate and construction have the characteristics of market neutrality,stability and profitability,indicating that the strategy can be used as a retail investor in China’s stock market The basic alternative investment strategy.(2)Combined with the indicators of income and risk,Shekou Greenland Holdings has the besteffect in the trading of three pairs of stocks.Investors can take this strategy as the basis,adjust the parameters through continuous back testing over time,and build the most suitable stockmatching trading strategy.