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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/130997

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/130997

Title:	應用Copula之配對交易策略 Pairs Trading with Copulas
Authors:	余冠緯 Yu, Kuan-Wei
Contributors:	張興華余冠緯 Yu, Kuan-Wei
Keywords:	統計套利配對交易關聯結構共整合關係 statistical arbitrage pairs trading copula cointegration ARMA GARCH
Date:	2020
Issue Date:	2020-08-03 17:39:35 (UTC+8)
Abstract:	配對交易在國內外證券市場是一種被廣泛運用的統計套利投資策略，它通過同時建構成對資產的多空部位來賺取資產價差收斂的損益。配對交易策略的顯著優點在於通過對沖機制來有效規避了該資產的系統性風險，即使在市場整體面臨下行風險的時候配對交易仍然能夠獲得比較穩定的收益。過去關於配對交易的文獻大致上專注在兩個方面，一是研究如何挑選出性質良好的配對以及相關交易模型，另一則是研究如何制定最優的交易策略使得交易績效得到最大化。本研究著重在後者，也就是引入一種基於關聯結構 (Copula) 函數和條件機率的股票配對交易策略來比較過去大眾所熟知的共整合策略以及最小距離策略的績效實證。最後經由本研究之實證顯示，關聯結構法不論在絕對績效或是風險調整後的績效上均勝過傳統的交易策略，同時也間接印證過去文獻提及最小距離策略在 2002 年之後可能獲得負報酬之事。 Pairs trading is a kind of statistical arbitrage strategy which is widely used in oversea security markets. By creating both long and short position for two different assets, we can earn arbitrage profit through the converging of two assets’ prices. Obviously, the most important advantage of pairs trading is that it could earn profit steadily during either bear market or bull market. The researches in the past mainly focused on two aspects. One was that looking for the better way to find out what kind of pair of assets had a better performance and their relative trading strategy, another was that making a better strategy to maximize our profit. This paper mainly focuses on the latter. We introduce a stock pairs trading strategy based on Copula function and conditional probability and compare it to the strategy invented by previous papers: cointegration method and distance method. Generally speaking, the Copula method definitely has greater excess return and risk-adjusted return. We also incidentally confirm that some of the paper mentioned that distance method had a poor performance after 2002.
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Description:	碩士國立政治大學金融學系 107352034
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0107352034
Data Type:	thesis
DOI:	10.6814/NCCU202000826
Appears in Collections:	[金融學系] 學位論文

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