發(fā)布時間：2018-01-01 07:06

  本文關(guān)鍵詞：基于平穩(wěn)過程和技術(shù)分析的交易策略研究　出處：《華東師范大學》2017年博士論文　論文類型：學位論文

  更多相關(guān)文章： 平穩(wěn)過程 統(tǒng)計套利 策略增強 策略組合 平穩(wěn)策略 蠟燭圖組合 事件研究

【摘要】：市場有效性假說是傳統(tǒng)金融理論的一個基本假設(shè),很多模型的推導(dǎo)都是基于這個基本假設(shè),但近年來越來越多的研究表明,市場有效性在有些情況下是失效的。從行為金融學的角度考慮,市場的無效性可能來源于市場中交易者的心理偏差以及信息不對稱性。本文在平穩(wěn)過程的框架下,嘗試挖掘中國市場中非有效的情形,并將其應(yīng)用在量化投資策略中,以期獲得平穩(wěn)的收益。首先,本文研究了股指期貨統(tǒng)計套利策略。協(xié)整模型因可以描述了多個資產(chǎn)之間的均衡關(guān)系而被廣泛地使用在配對套利策略中。協(xié)整套利策略可以使用的前提為多個標的資產(chǎn)之間存在穩(wěn)定的協(xié)整關(guān)系,但目前為止,該前提在學術(shù)界中并沒有得到有說服力的理論支撐,而協(xié)整關(guān)系的失效會導(dǎo)致協(xié)整套利策略發(fā)生虧損的風險。針對這一問題,本文借鑒協(xié)整模型的表達形式,對配對資產(chǎn)價格模型進行了改進,將取對數(shù)之后的配對資產(chǎn)價格描述為一個基于滑動平均的濾波項以及剩余的殘差項,而且隨之說明了,在配對資產(chǎn)價格的對數(shù)增量寬平穩(wěn)時,這個殘差項也是寬平穩(wěn)的,且該結(jié)論的成立并不要求標的資產(chǎn)之間存在協(xié)整關(guān)系�；�于上述模型,本文提出了新的套利策略。而后,將新策略的套利收益的來源拆分為具有不確定性的風險項與確定性的收益項,并給出了新模型中配對系數(shù)γ的最優(yōu)參數(shù)估計的邏輯與方法�？紤]到高頻情形下,要求套利策略以最快的速度成交,因此在交易過程中須直接以盤口掛單的對手價價位下單,而若以行情序列的最新價進行下單則無法保證成交�；�于以上原因,本文進一步得到了考慮盤口價差的統(tǒng)計套利策略。隨后,基于所給出的策略,本文給出了兩個成功的實證案例,分別為股指期貨跨期套利案例,以及股指期貨跨品種套利案例。其中,在股指期貨跨期套利案例中,本文指出,在不同頻率下,雖然所提出的策略都可以獲得正的收益,但使用的數(shù)據(jù)頻率越高,收益風險比越高。另外,為了說明高頻套利策略中考慮盤口價差的重要性,本文對比了使用對手價,與使用行情的最新價作為策略成交價時所得到的收益和風險,結(jié)果表明,只使用最新價作為策略回測的成交價,會使策略測試得到的收益率虛高,且風險也比實際情況低。然后,本文研究了基于平穩(wěn)過程理論的單邊擇時交易策略。在資產(chǎn)價格對數(shù)增量服從平穩(wěn)過程的條件下,基于平穩(wěn)過程的交易策略具有單位時間對數(shù)收益平穩(wěn),且具有隨著時間增加,單位時間平均收益收斂的優(yōu)秀性質(zhì)。這樣的性質(zhì)保證了策略盈利的穩(wěn)定性和持續(xù)性。本文在資產(chǎn)價格對數(shù)增量平穩(wěn)的條件下驗證了幾個常用技術(shù)指標的平穩(wěn)性,并提出了基于MACD指標的拐點策略,在滬深300股指期貨上的回測結(jié)果顯示,該策略在近連續(xù)4年的測試時間內(nèi)獲得了26.86%的年化收益,而Sharpe比率達到2.17。隨后提出了基于平穩(wěn)過程的策略增強方法框架,證明了在增強策略中,為使得增強收益的Sharpe比率最大,須使每個信號的權(quán)重配比與標準化的收益預(yù)測值成正比,并給出了標準化收益預(yù)測值的估計方法。隨后,為驗證增強策略的有效性,以KD原始策略作為基準,執(zhí)行所提出的策略增強方法。測試結(jié)果表明,原始KD策略的績效僅為年化收益18.08%,Sharpe比率1.2,而增強后,策略的年化收益變?yōu)?2.33%,Sharpe比率達到了3.99。為提高策略的收益風險比,本文探討了構(gòu)造多策略組合的方法,借鑒Markowitz的均值-方差模型的思想,本文將求解每個子策略的權(quán)重轉(zhuǎn)化為一個規(guī)劃問題的最優(yōu)解的求解問題,該規(guī)劃問題以期望收益疊加風險懲罰項為目標函數(shù),以每個權(quán)重為非負,且加和為1作為約束項。其后通過實證,驗證了權(quán)重優(yōu)化之后的多策略組合,可以大大提高策略的收益風險比。最后,本文研究了四對蠟燭圖組合在A股市場中的預(yù)測能力�；�于Morris的研究,本文首先給出了這四對蠟燭圖組合的量化定義。在測試蠟燭圖組合短期對于股價的預(yù)測效果時,很多學者將每個蠟燭圖形態(tài)的發(fā)生作為一個個相互獨立的事件進行統(tǒng)計,導(dǎo)致出現(xiàn)以下問題:一是由于不同股票之間的持倉時間會發(fā)生重疊,而導(dǎo)致的股票收益之間的高度正相關(guān);二是該方法忽略了蠟燭圖組合在時間軸上分布是否均勻。因此,本文從策略的角度著手分析蠟燭圖組合對股價的預(yù)測能力,在絕對收益與相對收益兩個衡量標準下,分別構(gòu)造兩個股票組合策略,并且證明了當股票價格的對數(shù)增量嚴平穩(wěn)時,所構(gòu)造的兩個策略的日收益是嚴平穩(wěn)的。最后,使用Step-SPA檢驗對所構(gòu)造的平穩(wěn)策略進行有效性測試,并以策略的有效性判斷蠟燭圖組合的有效性。本文分別在中市值樣本和大市值樣本下,測試了所構(gòu)造股票組合策略是否有顯著的預(yù)測能力。測試結(jié)果表明,不同蠟燭圖預(yù)測能力不同,其中3個蠟燭圖組合對不論中市值樣本,還是大市值樣本都有很強的預(yù)測能力�？傮w來說,蠟燭圖組合在中市值樣本中的預(yù)測能力高于在大市值股票樣本中的預(yù)測能力。本章所使用的方法也為事件研究提供了一個新的思路與框架。
[Abstract]:Efficient market hypothesis is one of the basic assumptions of traditional financial theory, many models are derived based on the basic assumption, but in recent years, more and more studies show that the effectiveness of market failure in some cases. Considering from the perspective of behavioral finance, market inefficiencies may be derived from the psychological deviation of the market traders and information asymmetry. This paper is based on the stationary process, attempts to explore the non effective Chinese market situation, and its application in quantitative investment strategies, in order to obtain a stable income. Firstly, this paper studies the statistical arbitrage in stock index futures strategy. The cointegration model can describe the equilibrium relationship between a plurality of assets and is widely used in the matching strategy. There are arbitrage cointegration relationship between cointegration between the premise of arbitrage strategies can be used for a plurality of underlying assets, but as of now, The premise in the academic circle has not been a convincing theoretical support, and the failure of the cointegration relationship will lead to cointegration arbitrage risk strategy of loss. To solve this problem, this paper from the expression of cointegration model, paired asset price model was improved, the logarithm of asset prices after the match described as a moving average filter based on the item and the rest of the residuals, but also shows that, in logarithmic incremental asset price stability when paired laterally, the residual is wide stationary, there is a cointegration relationship between the establishment and the conclusion is not a requirement for the underlying assets. Based on the above model, is presented in this paper. The new arbitrage strategy. Then, the source will split the new strategy for arbitrage with uncertainty risk and income uncertainty, and gives the optimal estimation of parameter matching coefficient of new model. The logic and method. Considering the requirement of high frequency case, arbitrage strategies deal with the fastest speed, therefore in the process of transaction shall be directly to the handicap Guadan price match orders, and the latest price if the market sequence orders can guarantee the transaction. Based on the above reasons, this paper further consider the statistical spread bets the arbitrage strategy. Then, the strategy based on, this paper gives two successful examples, respectively, stock index futures and stock index futures arbitrage case, cross species arbitrage case. Among them, the stock index futures arbitrage case, this paper points out that under different frequencies, although the proposed strategy you can get a positive profit, but the data frequency is higher, the higher the ratio of earnings risk. In addition, in order to illustrate the importance of high-frequency arbitrage spreads into bets in senior high school entrance examination, this paper compares the use of rival price, and The latest price of using market price as the strategy of return and risk, the results show that the price of using only the latest price as the strategy back testing, the test strategy obtained unrealistically high yield, and low risk than the actual situation. Then, in this paper a smooth unilateral selection process theory the trading strategy based on the stationary process in asset prices. Obey the logarithmic increment under the condition of stationary process trading strategy based on the unit of time is logarithmic stable income, which has increased with time, excellent properties of unit time average income convergence. The nature of this kind of strategy to ensure the stability of profitability and sustainability. This paper verified the stable the commonly used technical indexes of some asset prices in the logarithmic increment under stationary conditions, and put forward some strategic inflection point based on MACD index, the Shanghai and Shenzhen 300 stock index futures on the back test results show that the strategy Get a 26.86% annualized return on the test time nearly 4 consecutive years, while the Sharpe ratio reached 2.17. and then puts forward the strategy of stationary process enhancement method based on the framework is proved in enhancing strategies, so as to enhance the income maximum ratio of Sharpe to make the weight ratio of each signal with the standard revenue forecast is proportional to the value, and gives a method to estimate value prediction standard yield. Then, in order to verify the validity of the strategy to enhance the original strategy, KD as a benchmark, to enhance the implementation of the proposed method. The test results show that the original performance of KD strategy is only 18.08% annual yield, the ratio of Sharpe is 1.2, and the enhanced strategy, the annual yield is 52.33%, the ratio of Sharpe to 3.99. in order to improve the strategy of income risk ratio, this paper discusses the method of constructing multi strategy combination, using Markowitz's mean variance model thought, this article will Convert the weight of solving each sub strategy for solving an optimal planning problem solution, the planning problem of expected return superposition risk penalty as the objective function, with each weight is nonnegative, and with 1 as the constraint. Then through the empirical study, it is verified that the combined multi strategy weight after optimization, can greatly improve the strategy of income risk ratio. Finally, this paper studies four of candle combination in the A stock market prediction ability. Based on the Morris research, this paper first gives the definition of four quantitative candle combinations. In the test group for short candle price prediction effect, many scholars will occur each candle shape as an independent event statistics, leads to the following problems: one is due to the different stock positions between time will overlap, resulting in the stock returns between the high The degree of positive correlation; two is the method ignores the candle combination on the time axis distribution. Therefore, this paper from the perspective of strategy analysis of candle combination forecasting to stock, in absolute income and relative income two metrics, we construct two stock portfolio strategy, and prove that the logarithmic increment when the stock price strictly stationary, return the two strategy proposed is strictly stationary. Finally, using Step-SPA test to test the validity of the constructed stable strategy, and the strategy to determine the effectiveness of candle combination effectiveness. This paper in the market value of large cap samples and samples the test, that the structure of stock portfolio strategy have significant predictive ability. The test results show that the different candle prediction ability is different, of which 3 Candle combination on whether the market value of the sample, or large cap samples It has strong predictive power. Generally speaking, candle chart combination has a higher predictive power in the middle market value sample than in the large cap stock sample. The methods used in this chapter also provide a new idea and framework for event research.

【學位授予單位】：華東師范大學
【學位級別】：博士
【學位授予年份】：2017
【分類號】：F830.9

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