Pairs trading strategy of ETF based on mixture Copula(基于混合Copula的ETF配对交易策略)

SHENYinfang(沈银芳); ZHENGXuedong(郑学东); XUXinzhe(徐信喆)

doi:10.3785/j.issn.1008-9497.2016.03.004

Zhejiang Daxue xuebao. Lixue ban (May 2016)

Pairs trading strategy of ETF based on mixture Copula(基于混合Copula的ETF配对交易策略)

SHENYinfang(沈银芳),
ZHENGXuedong(郑学东),
XUXinzhe(徐信喆)

Affiliations

SHENYinfang(沈银芳): ORCiD; 1.School of Date Sciences, Zhejiang University of Finance and Economics, Hangzhou 310018, China( 1.浙江财经大学数据科学学院，浙江　杭州　310018)
ZHENGXuedong(郑学东): 1.School of Date Sciences, Zhejiang University of Finance and Economics, Hangzhou 310018, China( 1.浙江财经大学数据科学学院，浙江　杭州　310018)
XUXinzhe(徐信喆): 2.Antai College of Economics & Management, Shanghai Jiao Tong University, Shanghai 200052, China( 2.上海交通大学安泰经济与管理学院，上海　200052)

DOI: https://doi.org/10.3785/j.issn.1008-9497.2016.03.004
Journal volume & issue: Vol. 43, no. 3
pp. 271 – 278

Abstract

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配对交易是一种非常普遍的投资策略，被广泛应用于金融市场.距离法和协整法在配对交易策略中使用最普遍，然而，这2种方法只能描述股票之间的线性相关结构.本文基于3类基本的阿基米德Copula函数构成的混合Copula,定量刻画了资产之间的条件相关性，给出了新的配对交易策略，并将其运用于高频ETF市场.实证分析表明，新的策略可以捕获更多相依信息，得到更多的交易机会.

Published in Zhejiang Daxue xuebao. Lixue ban

ISSN: 1008-9497 (Print)
Publisher: Zhejiang University Press
Country of publisher: China
LCC subjects: Science: Mathematics: Instruments and machines: Electronic computers. Computer science; Science: Physics
Website: https://www.zjujournals.com/sci/EN/1008-9497/home.shtml

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