在厚尾分配下的均值收斂交易策略

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謝佶宏(Ji-Hong Hsieh) 查詢紙本館藏

畢業系所

統計研究所

論文名稱

在厚尾分配下的均值收斂交易策略

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摘要(中)

均值收斂交易策略在金融市場上一直以來都被廣泛的應用，而均值收斂交易策略在配對交易下的表現往往較單一商品佳。然而，均值收斂模型假設分佈為常態分配，但股票報酬分佈一直以來存在厚尾的問題，而Student′s t 分佈擁有厚尾的特性。本文藉由均值收斂模型假設分佈為Student′s t 分佈下可較佳捕捉厚尾的性質，且利用台灣金融市場的交易資料進行回測，並將其結果與均值收斂模型在常態模型下進行比較。

摘要(英)

The mean reverting trading strategy has been widely used in the financial market, and the pair trading performance of the mean reverting strategy is often better than a single commodity. However, in empirical studies, we obtain that the density of log returns, but the density of log return usually has fat-tailed problem. The Student′s t distribution has the characteristic of fat tail. In this paper, we propose the reverting model under the Student′s t distribution can capture better fat-tailed property, and use stock data from Taiwan finance market. We show the empirical results in order to compare the performance of two reverting model.

關鍵字(中)

★ 均值收斂交易策略
★ 配對交易
★ Student′s t 分佈

關鍵字(英)

★ mean reverting model
★ pair trading
★ Student′s t distribution

論文目次

摘要 i
Abstract ii
誌謝 iii
第一章緒論 1
第二章價差均值收斂模型 2
第一節價差對數隨機過程 2
第二節模型假設 3
第三節模型校正
第三章研究方法 5
第一節參數估計 5
第二節最大期望演算法 7
第四章模擬研究 13
第一節模擬方法 13
第二節模擬結果 14
第五章交易規則 19
第六章實證研究 21
第一節回測資料 21
第二節回測結果 27
第七章結論 32
參考文獻 33

參考文獻

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[6] Johannes Stübinger and Sylvia Endres. Pairs trading with a mean-reverting jump–
diffusion model on high-frequency data. Quantitative Finance, pages 1–17, 2018.
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analysis? evidence from singapore stock market. Applied Financial Economics, 13(7):
543–551, 2003.

指導教授

孫立憲(Li-Hsien Sun)

審核日期

2018-7-16

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