不对称均值回复及相关技术交易策略研究  

Asymmetric Return Dynamics and Technical Trading Strategies

作　　者：刘婷婷[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《重庆理工大学学报（自然科学）》2015年第11期144-150,共7页Journal of Chongqing University of Technology：Natural Science

基　　金：国家自然科学基金资助项目(71071109)

摘　　要：资产收益和波动之间的关系一直以来都是金融经济学中的研究重点。通过研究股票收益不对称回复特性,提出了新的技术交易策略。以上证综合指数为例检验日收益动态性中的不对称性,结果得出:买入信号产生一个正收益,卖出信号产生一个负收益,对买卖信号差产生正收益。Relationship between the asset returns and volatility has always been a research focus in the financial economics. We investigated asymmetric reverting property of stock returns and raised the profitability of technical trading strategies. We identified an asymmetry in return dynamics for daily returns on the Shanghai composite index. Return dynamics evolve along a positive（ negative） unconditional mean after a prior positive（ negative） return. The trading strategies based on this asymmetry generate a positive return for buying signals,a negative return for sell signals and a positive return for the spread between buy and sell signals.

关 键 词：不对称 均值回复 交易策略 

分 类 号：O213[理学—概率论与数理统计]