Research On Dynamic Statistical Arbitrage Strategy Of Quantitative Trading Of Commodity Futures Trading

In recent years,quantitative investment methods have swept the securities investment community.Through the establishment of quantitative funds,based on statistical arbitrage methods,institutional investors have achieved stable returns in various financial markets at home and abroad,while controlling investment risks at a low level.Due to the characteristics of stable returns and low risks,quantitative statistical arbitrage methods have been widely applied in domestic and foreign capital markets.Its advantages such as convenience,mechanics and accuracy are also far from traditional arbitrage investment strategies.Based on representativeness and innovation,this thesis selects the Shanghai International Energy Exchange Center crude oil futures contracts(INE crude oil futures contracts),which ranks among the top in the world in terms of transaction scale,as the research object to conduct quantitative statistical arbitrage practice research.Based on Market Efficiency Theory and Cointegration Theory,combined with Bollinger Bands Theory,this thesis designs dynamic statistical arbitrage strategy,and establishes a dynamic statistical arbitrage model.The trend quantitative trading model pairs the SC1901 contract with the SC1904 contract to realize the intertemporal statistical arbitrage of futures.Finally,the thesis carries out backtesting test to compare and evaluate the realization effects of different strategies,so as to test the effect of parameter optimization and state indexing on the optimization and improvement of statistical arbitrage strategies.The empirical results show that the dynamic arbitrage strategy has achieved good results,and the strategy yield is significantly higher than the benchmark yield.At the same time,strategy optimization methods such as parameter optimization and state indexing have a significant positive effect on performance improvement,which can provide a good reference for crude oil futures investors.The purpose of this thesis is to empirically test the dynamic arbitrage of China’s crude oil futures market through the classical quantitative investment strategy improved by Bollinger Bands.On the other hand,for the emerging market of China’s crude oil futures trading,exploring and improving its effectiveness in spot pricing can provide reference for improving China’s crude oil futures market.