Statistical Arbitrage Research Based on Pairs Trading Strategies

被引：0

作者：

Zhang, Juan ^{[1
]}

Guo, Feng ^{[1
]}

机构：

[1] Shanghai Univ, Sch Econ, Finance, Shanghai 200000, Peoples R China

来源：

INTERNATIONAL CONFERENCE ON ECONOMICS AND MANAGEMENT (ICEM 2015) | 2015年

关键词：

Pairs trading strategy; positions; time-varying standard deviation; arbitrage;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper had put forward a new strategy: "opening positions when Spread deviates from their opening line of portfolios, closing positions when crossing the meaning line at the first time". The strategy can achieve better arbitrage gains in the empirical test. In addition, this paper used GARCH (1.1) model to predict the time-varying standard deviation as the opening line. This improvement obtains higher returns.

引用

页码：576 / 580

页数：5

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