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Research on Futures Statistical Arbitrage Based on High-Frequency Data

Author: KangRuiQiang
Tutor: ZhaoXiCang
School: Jiangsu University
Course: Statistics
Keywords: High-frequency data Statistical arbitrage Cointegration Futures market
CLC: F724.5
Type: Master's thesis
Year: 2009
Downloads: 615
Quote: 6
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Abstract


In the rapidly changing financial market, the excess return to the pursuit of stability is the eternal goal of all types of investors. In 2008, the global financial crisis engulfed the bankruptcy of Lehman Brothers and other large institutional investors have. But on the other hand Highbridge Capital and other representatives statistical arbitrage investment institutions in the context of the global financial crisis has made remarkable achievements. This fully embodies the advantages of statistical arbitrage trading strategy to maintain market neutral, to avoid systemic risk. Statistical arbitrage trading strategies is a widely used arbitrage investment in Europe and the United States a large hedge fund companies, investment banks and other institutional investors trading strategies, but the vast majority of China's financial market has been the lack of a market short-mechanism, research few. In the context of our upcoming margin trading, short selling mechanism, such study has important forward-looking. This paper will be used in China's futures market statistical arbitrage, the test statistical arbitrage strategy in China's futures market feasibility. The main contents of this paper are as follows: (1) select the futures market in China's oldest and most actively traded futures one species - the Shanghai Futures Exchange copper futures contracts as the object of study. Taking into account the addition to the contractual maturity contract between two adjacent, identical to the other fundamental and technical, as appropriate statistical arbitrage trading partners. Time series of paper selected of copper Cu11 and Cu12 two Shanghai Futures Exchange copper price of copper futures contracts. To the to explore five minutes of the closing price of the potential statistical arbitrage trading opportunities, the two contracts constitute the high-frequency data as much as possible as the study sample. (2) the use of the cointegration theory test copper Cu11 and Cu12 futures contracts between the long-term equilibrium relationship and establish cointegration coefficient as a statistical arbitrage pairs trading coefficient, the test results show that the long-run equilibrium relationship between Cu11 and Cu12 futures contracts . And to further define the optimal trigger point arbitrage trading to maximize the expected revenue ideas in order to control risk, the use of risk-based pricing (VaR) determine the upper and lower bounds of the stop, in order to build the optimal statistical arbitrage strategies. Thus outside the sample and sample data before building the optimal arbitrage strategy simulated trading, to test its feasibility. (3) In addition, the article also constant historical volatility and GARCH model-based time-varying volatility both arbitrage strategy-sample data, the empirical results show that when varying volatility GARCH model-based strategy is much better than based on constant historical volatility arbitrage strategies. Both statistical arbitrage strategies built-sample data or the sample data can be more than 1.88% of the average daily return rate, which shows that the statistical arbitrage strategy is feasible in China's futures market.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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