• 金融数学 •

### 中国市场ETF套利研究

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

$a_x(t)X_t-a_y(t)Y_t=m_t+s_t\varepsilon_t,$

$a_x(t)$~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.

Fund)\,基金中, 对其进行两两配对套利,

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.