配对交易的最优阈值  

Optimal threshold of pairs trading

作　　者：于晓雨 毕秀春 张曙光[1] YU Xiaoyu;BI Xiuchun;ZHANG Shuguang(School of Management, University of Science and Technology of China, Hefei 230026, China;School of Mathematics and Statistics, Guizhou University of Finance and Economics, Guiyang 550025, China)

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026 [2]贵州财经大学数学与统计学院,贵州贵阳550025

出　　处：《中国科学技术大学学报》2020年第6期784-792,共9页JUSTC

基　　金：国家自然科学基金(11401556,11471304);贵州财经大学科研项目(2020YJ026)资助.

摘　　要：考虑到市场的波动性和不确定性,如何在保持稳定收益的基础上有效控制风险是亟待解决的问题.通过遗传算法求解带止损条件的配对交易最优阈值,在协整和部分协整条件下的沪深300指数和中证500指数分行业配对股票中进行实证检验,实证结果表明,与固定10%止损和不止损条件下的最优阈值相比,带止损条件的交易阈值设置使配对交易在保持较高水平的收益的基础上能有效控制风险和损失.Considering the volatility and uncertainty of the market,how to effectively control the risk on the basis of maintaining stable return is an urgent problem to be solved.Here genetic algorithm was used to solve the optimal threshold of pairs trading with stop loss condition.Empirical test was carried out in the matching stocks of CSI 300 and CSI 500 Indices industries under the condition of cointegration and partial cointegration.Results show that the presented method controls risk and loss more effectively on high return than 10%stop loss and no stop loss.

关 键 词：止损 遗传算法 配对交易 最优阈值 部分协整检验 

分 类 号：C812[社会学—统计学]