华东师范大学学报(自然科学版) ›› 2013, Vol. 2013 ›› Issue (5): 144-151.

• 金融数学 • 上一篇    下一篇

中国市场ETF套利研究

陈 实, 吴述金, 郑伟安   

  1. 华东师范大学 金融与统计学院, 上海 200241
  • 收稿日期:2013-06-01 修回日期:2013-09-01 出版日期:2013-09-25 发布日期:2013-09-30

ETF arbitrage research on China financial markets

CHEN Shi, WU Shu-jin, ZHENG Wei-an   

  1. School of Finance and Statistics, East China Normal University, Shanghai 200241, China
  • Received:2013-06-01 Revised:2013-09-01 Online:2013-09-25 Published:2013-09-30

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摘要： 首先提出了一个描述配对资产之间价格关系的新模型
$a_x(t)X_t-a_y(t)Y_t=m_t+s_t\varepsilon_t,$
其中~$X_t$~与~$Y_t$~表示两个资产在~$t$~时刻的价格,
$a_x(t)$~与~$a_y(t)$~表示资产配对系数, $m_t$~表示长期趋势,
$s_t$~表示残差的标准差,  $\varepsilon_t$~为标准化的残差.
当系数~$a_x(t)$~与~$a_y(t)$~固定, $s_t$~与趋势项~$m_t$~保持恒定时,
模型可退化为一种两变量的的协整模型. 然后 基于这个新模型,
提出了一种利用平稳过程~$\{\varepsilon_t\}$~进行套利的高频交易方法,
并将此方法应用到中国市场流动性较强的三只\,ETF(Exchange Traded
Fund)\,基金中, 对其进行两两配对套利,
均取得较高的且非常稳定的理论收益.

关键词: 高频交易, 统计套利, 平稳过程

Abstract: This paper first proposed a new model to describe the
relationship between two paired asset prices:
$a_x(t)X_t-a_y(t)Y_t=m_t+s_t\varepsilon_t,$ where $X_t$ and $Y_t$
denote the prices of two paired financial assets at time $t$,
$a_x(t)$ and $a_y(t)$ the matching coefficients, $m_t$ the long-term
trend, $s_t$ the standard deviation of residual, and $\varepsilon_t$
the standardized residual. When $a_x(t)$, $a_y(t)$, $m_t$ and $s_t$
are constants, the model is reduced to a kind of two-variable
cointegration model. Based on this new model, the paper proposed a
statistical arbitrage method for high-frequency trading using the
stationary process $\{\varepsilon_t\}$. As its application, this
method was used on three major ETFs in China financial markets and
achieved very stable and high revenue on all three pairs.

Key words: high frequency trading, statistical arbitrage, stationary process

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