基于参数调整的协整配对交易策略:理论模型及应用  

The Co-integration Pairing Trading Strategy Based on the Parameter Adjustment:the Theory Model and Application

作　　者：张河生[1] 闻岳春[1] 

机构地区：[1]同济大学经济管理学院,上海200070

出　　处：《西部金融》2013年第1期11-16,共6页West China Finance

基　　金：国家自然基金项目(项目批准号:71273190);教育部人文社科研究规划项目(编号:10YJA790196)的部分成果

摘　　要：股指期货与融资融券的启动,开启了中国做空和对冲时代的大门,协整配对的套利交易将会扮演重要角色。在构建交易策略过程中,目前大多数交易者都在交易区间和止损区间的设置上采取经验值,典型的做法是分别取一倍和两倍的标准差。事实上,这种做法不能保证获得最大的套利利润,甚至会出现亏损。本文认为区间的参数选择是一个慎重抉择的过程,应该通过不断地调试以选择最优参数,以使该交易策略体系更好地发挥作用。The start-up of stock index futures and financing securities lead China to the times of short and hedge, and co-integra-tion pairing trading will play an important role. In the process of constructing the trading strategy, at present, most traders use experi- ence value when setting the trading range and stop loss range, and the typical way is to take one and two times of the standard deviation respectively. In fact, this kind of practice cannot guarantee the biggest arbitrage profits and even cause losses. The paper thinks that the range parameter selection is a discreet process of the choice and the optimal parameters should be selected constantly by debugging to make the trading strategy system work better.

关 键 词：参数调整 协整 配对交易策略 

分 类 号：F830.31[经济管理—金融学]