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研究生:余冠緯
研究生(外文):Yu, Kuan-Wei
論文名稱:應用Copula之配對交易策略
論文名稱(外文):Pairs Trading with Copulas
指導教授:張興華張興華引用關係
口試委員:林信助黃星華
口試日期:2020-07-10
學位類別:碩士
校院名稱:國立政治大學
系所名稱:金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:35
中文關鍵詞:統計套利配對交易關聯結構共整合關係
外文關鍵詞:statistical arbitragepairs tradingcopulacointegrationARMAGARCH
相關次數:
  • 被引用被引用:0
  • 點閱點閱:272
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
配對交易在國內外證券市場是一種被廣泛運用的統計套利投資策略,它通過同時建構成對資產的多空部位來賺取資產價差收斂的損益。配對交易策略的顯著優點在於通過對沖機制來有效規避了該資產的系統性風險,即使在市場整體面臨下行風險的時候配對交易仍然能夠獲得比較穩定的收益。過去關於配對交易的文獻大致上專注在兩個方面,一是研究如何挑選出性質良好的配對以及相關交易模型,另一則是研究如何制定最優的交易策略使得交易績效得到最大化。本研究著重在後者,也就是引入一種基於關聯結構 (Copula) 函數和條件機率的股票配對交易策略來比較過去大眾所熟知的共整合策略以及最小距離策略的績效實證。最後經由本研究之實證顯示,關聯結構法不論在絕對績效或是風險調整後的績效上均勝過傳統的交易策略,同時也間接印證過去文獻提及最小距離策略在 2002 年之後可能獲得負報酬之事。
Pairs trading is a kind of statistical arbitrage strategy which is widely used in oversea security markets. By creating both long and short position for two different assets, we can earn arbitrage profit through the converging of two assets’ prices. Obviously, the most important advantage of pairs trading is that it could earn profit steadily during either bear market or bull market. The researches in the past mainly focused on two aspects. One was that looking for the better way to find out what kind of pair of assets had a better performance and their relative trading strategy, another was that making a better strategy to maximize our profit. This paper mainly focuses on the latter. We introduce a stock pairs trading strategy based on Copula function and conditional probability and compare it to the strategy invented by previous papers: cointegration method and distance method. Generally speaking, the Copula method definitely has greater excess return and risk-adjusted return. We also incidentally confirm that some of the paper mentioned that distance method had a poor performance after 2002.
第一章 緒論 1
第二章 相關理論概述 4
第一節 邊際分配模型 4
第二節 Copula理論與模型 8
第三章 研究方法 13
第一節 資料篩選及預處理 13
第二節 最小距離法 14
第三節 共整合法 15
第四節 關聯結構法 18
第四章 實證結果分析 23
第一節 績效評量 23
第二節 交易績效敘述統計與評估 24
第五章 結論與建議 29
參考文獻 31
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