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

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姓名

張哲睿(Jer-Ruey Chang) 查詢紙本館藏

畢業系所

統計研究所

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
(Pairs trading strategy using double exponential smoothing prediction model and nonparametric tolerance limits)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 無母數容忍限
★ 共整合法
★ 配對交易
★ 雙重指數平滑預測模型

關鍵字(英)

★ Nonparametric tolerance limits
★ Cointegration method
★ Pairs trading
★ Double exponential smoothing prediction model

論文目次

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

參考文獻

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指導教授

孫立憲(Li-Hsien Sun)

審核日期

2020-7-29

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