基于协整方法的统计套利策略的实证分析

统计套利技术于上世纪八十年代被提出并广泛应用于实践。其在美国、欧洲、日本等成熟市场已成为主流，被大量对冲基金和投资机构采用，管理着巨额的资产，对股权及衍生品市场交易有很大影响。统计套利技术经过实践证明，能够帮助人们获取可观的收益。本文首先对统计套利的定义和策略进行了介绍，接着采用协整方法、选取了我国融资融券标的的90只股票，对成对交易的统计套利策略的表现进行了实证分析，实证结果表明该技术可以较好地适用于中国市场，为做空机制在中国市场推出后金融机构和投资者们的投资行为提出一些参考和建议。

Empirical Analysis on Statistical Arbitrage Based on Co-integration Method

The concept of statistical arbitrage was raised in 1980s and was widely used in daily practices.In mature markets such as America,Europe,Japan,this technology has become the main strain and is adopted by many hedge funds and investment companies,managing great deal of asset.Studies show that statistical arbitrage technology can help investors gain considerable return.This paper first gives an overall introduction about the definition and basic strategies of statistical arbitrage,analyzes 90 underlying stock...