基于变结构协整的股票分时价格统计套利分析  

Statistical Arbitrage Analysis of Stock Price Based on Variable Structure Co-integration Model

作　　者：孟静科 王建华[1] 王传美[1] 

机构地区：[1]武汉理工大学理学院,湖北武汉430070

出　　处：《武汉理工大学学报（信息与管理工程版）》2017年第6期727-732,共6页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：教育部人文社科青年基金项目(14YJCZH143);中央高校基本科研业务费专项资金项目(WUT:2016IA005);国家自然科学基金项目(91324201;81271513;71473186)

摘　　要：选取券商板块中东北证券和广发证券的交易价格日数据、60 min、30 min、15 min、5 min及1 min数据作为研究对象,建立价差序列的协整和变结构协整模型。根据这两个模型确定买卖点,寻找交易机会,分析套利的收益。结果表明,变结构协整模型优于普通协整模型,出现的交易机会较多,年化收益率也有所改善。Selection of brokerage sector in Northeast securities and Guangfa securities, including daily data, 60 minutes da-ta, 30 minutes data, 15 minutes data, 5 minutes data and 1 minute data as the research object, establishing co-integration mod-el and variable structure co-integration model for spread sequence. According to the two models to determine the point of sale, looking for trading opportunities, analysis of arbitrage profits. The results show that co-integration with structural changes model is better than co-integration model, appearing more trading opportunities, annualized return also can be improved.

关 键 词：变结构协整模型 统计套利 股票分时数据 

分 类 号：F832.5[经济管理—金融学]