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研究生:張哲睿
研究生(外文):Jer-Ruey Chang
論文名稱:使用雙重指數平滑預測模型及無母數容忍限的配對交易策略
論文名稱(外文):Pairs trading strategy using double exponential smoothing prediction model and nonparametric tolerance limits
指導教授:孫立憲孫立憲引用關係
指導教授(外文):Li-Hsien Sun
學位類別:碩士
校院名稱:國立中央大學
系所名稱:統計研究所
學門:數學及統計學門
學類:統計學類
論文出版年:2020
畢業學年度:108
語文別:英文
論文頁數:56
中文關鍵詞:無母數容忍限共整合法配對交易雙重指數平滑預測模型
外文關鍵詞:Nonparametric tolerance limitsCointegration methodPairs tradingDouble exponential smoothing prediction model
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  • 被引用被引用:0
  • 點閱點閱:37
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  • 下載下載:10
  • 收藏至我的研究室書目清單書目收藏:0
我們將two-step approach cointegration 和double exponential smoothing prediction (DESP) model 以及nonparametric tolerance limits 應用在配對交易。一開始我們將two-step approach cointegration 作為配對的股票是否具有stationary 性質的準則,接著使用DESP 決定適當的股票比例,最終以nonparametric tolerance limits 計算歷史資料,得到上、下限作為進、出場的信號。在實證研究中,我們將此策略應用在台灣市場,接著分析表現,並深入探討這個策略。
We propose a pairs trading strategy using the two-step cointegration, the double exponential smoothing prediction (DESP) model, and the nonparametric tolerance limits. The first part is to use two-step cointegration test to find out stocks with stationary nature and apply the DESP in order to obtain the appropriate stock ratio. Finally, based on the historical data, the appropriate upper and lower bounds as the entry and exit signals can be calculated by using nonparametric tolerance limits. In empirical studies, we apply the proposed strategy to the Taiwan stock market, analyze the performance, and provide some further discussion on the trading strategy.
摘要iv
Abstract v
誌謝vi
Contents vii
1 Introduction 1
2 Literature review 3
2.1 Pairs trading ............................................................. 3
2.2 Time adaptive models.................................................. 4
2.3 Signal ...................................................................... 4
3 Reseach method 6
3.1 Cointegration test ....................................................... 6
3.1.1 Stationarity ...................................................... 6
3.1.2 Augmented Dickey-Fuller Test .............................. 6
3.1.3 Engle–Granger two–step cointegration test .............. 9
3.2 Double exponential smoothing ....................................... 10
3.3 Nonparametric tolerance limits ...................................... 12
3.4 Trading procedure....................................................... 14
vii
CONTENTS
4 Empirical study 17
4.1 Data description ......................................................... 17
4.2 Data results and analysis .............................................. 20
4.2.1 Chemical stocks................................................. 20
4.2.2 Semiconductor stocks.......................................... 30
5 Conclusion and Suggestion 41
5.1 Conclusion ................................................................ 41
5.2 Suggestion................................................................. 42
References 43
[1] Achmad M. (2019). Comparison of Holt and Brown’s Double Exponential Smoothing Methods in The Forecast of Moving Price for Mutual Funds Journal of Applied Science, Engineering, Technology, and Education, 1(2), 183-192. doi.org/10.35877/454RI.asci1167
[2] Chen, C.W.S., & Lin, T.-Y. (2017). Nonparametric tolerance limits for pair trading. Finance Research Letters, 21, 1-9. doi:10.1016/j.frl.2016.11.002
[3] Chen, C.W.S., Lin, T.-Y., & Huang, T.Y. (2019) Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting. Risk Model Validation, 13(1), 63-94. doi:10.21314/JRMV.2019.202
[4] Chen, C.W.S., & Wang, Z. & Sriboonchitta, S. & Lee, S. (2017). Pair trading based on quantile forecasting of smooth transition GARCH models. The North American Journal of Economics and Finance, 39, 38-55. doi.org/10.1016/j.najef.2016.10.015
[5] Dickey, D.A., & Fuller, W.A. (1979). Distribution of the Estimator for Autoregressive Time Series With a Unit Root. American Statistical Association, 74(366), 427-431. doi:10.2307/2286348
[6] Dunis, C.L., Giorgioni G., Laws J., & Rudy J. (2010). Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities.
[7] Engle, R.F., & Granger, C.W.J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. doi:10.2307/1913236
[8] Hansun, S. (2016). A New Approach of Brown’s Double Exponential Smoothing Method in Time Series Analysis. Balkan Journal of Electrical and Computer Engineering, 4(2), 75-78. doi: 10.17694/bajece.14351
[9] Laviola, J. (2003). Double Exponential Smoothing: An Alternative to Kalman Filter-Based Predictive Tracking. In Proceedings of In Proceedings of the Immersive Projection Technology and Virtual Environments. ACM Press, 199-206.
[10] Li, S.P., & Liu, K.J. (2004). Quadric Exponential smoothing Model with Adapted Parameter and Its Applications
[11] Vidyamurthy, G., (2004). Pairs Trading, Quantitative Methods and Analysis. Canada:John Wiley & Sons
[12] Wang, Y.J., & Xie, Y.Z. (2012). Testing the Consistency of the Theory of Macroeconomic Variables in Taiwan
[13] Young, D.S. (2010). tolerance: An R Package for Estimating Tolerance Intervals Statistical Software, 36(5)
[14] 陳旭昇(民102)。時間序列分析–總體經濟與財務金融之應用。東華書局
[15] 張偉平(民100)。區間估計(二) 容忍區間
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