ETF arbitrage research on China financial markets
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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.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.
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Key words:
- high frequency trading /
- statistical arbitrage /
- stationary process
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