统计套利

统计套利基金（statisticalarbitragefunds）的问题更为严重。

Statistical arbitrage funds have run into particular problems .

并发现基于时变波动率的统计套利策略要优于基于历史波动率的统计套利策略。

And based on time-varying volatility statistical arbitrage strategy is superior to statistical arbitrage strategies based on historical volatility .

本文将在已有研究的基础上，运用最新的数据，对统计套利的各种常用模型在我国的证券市场上进行实证检验，包括正态分布模型，GARCH模型等。

This paper will make an empirical test about the effect of common models in our market based on the existing research . These models include Normal distribution , GARCH model , and so on .

这就充分体现了统计套利型交易策略保持市场中性、规避系统风险的优势。

This reflects the advantages of strategy based on arbitrage trades .

导致问题恶化的因素是，为买进股票，许多统计套利基金经理大举借贷。

Compounding the problem is that many stat ARB managers have borrowed heavily to buy shares .

最后系统的研究了基于协整理论的统计套利模型的建立方法，以及交易信号的制定。

Then systematically research the methods of building a statistical arbitrage model based on co-integration , and determining trading signals .

滑动窗口下的统计套利策略主要有以下几个研究：第一：对开仓阂值和止损阈值进行了优化。

Statistical arbitrage strategy under moving window mainly includes the following aspects : First , optimize the opening and stop-loss threshold .

本文前部分简单的介绍了融资融券的基础知识、统计套利的相关理论及协整检验的方法。

The first half of this pager describes the basics of margin trading , theories of statistical arbitrage and methods of co-integration test .

然而近几年来，得益于各种数理模型的发展和计算机处理能力的大幅提高，产生了一种依据概率模型的统计套利。

Benefiting from the development of math models and hardware , a new kind of arbitrage strategy-statistical arbitrage emerges out in recent years .

因此，前景不看好的企业股价上涨，而前景看好的企业反而股价下跌，这破坏了“统计套利基金”模型的逻辑。

Thus , companies with poor prospects have seen shares rise and vice versa , undermining the logic of " stat ARB " models .

考虑到相邻的两期合约之间除合约到期日不同之外，其他的基本面和技术面完全相同，可做为恰当的统计套利交易对象。

In addition to the maturity date , two adjacent futures are identical in other fundamental and technological sides which are suitable for statistical arbitrage trading .

本文将统计套利运用于我国的股指期货，研究在我国新兴的股指期货市场上套利的可行性。

This article will apply our statistical arbitrage in stock index futures market , and test whether statistical arbitrage strategy is feasible or not in China .

在上述工作的基础上得出资本市场效率实证检验的理论依据：在长期交易过程中，统计套利机会的存在与资本市场效率是不相容的。

So the basis of empirical test for capital market efficiency is that the existence of statistical arbitrage opportunities is not compatible with capital market efficiency .

但另一方面以高桥资本等为代表的统计套利型投资机构在全球金融危机的背景下却取得了骄人的业绩。

On the other hand , a remarkable performance has performed by institutional investors based on arbitrage trades as represented by High Bridge Capital in context of global financial crisis .

本文中讨论和研究的统计套利方法就是一种具有市场中性的投资策略，无论是在熊市还是牛市都能获得稳定回报。

The statistical arbitrage discussed in this paper is a market neutral investment strategy , and it can get a stable return whether in a bear market or bull market .

实证结果揭示了沪深300跨期套利机会的存在，并检验了统计套利模型的实证效果。

The results of the demonstration reveals the existence of the opportunities of Shanghai and Shenzhen 300 SIF on cross-contracts arbitrage , and tests the effect of the statistical arbitrage model .

基于大同煤业和平煤股份两只股票近两年最新交易数据，建立基于协整的传统统计套利模型和优化统计套利模型。

Based on the transaction data of Datong Coal and Pingding - shan shares in . recent years , we built a traditional statistical arbitrage model based on co-integration and optimization statistical arbitrage models .

第二章介绍了统计套利的定义，统计套利与无风险套利的区别，统计套利实施中的策略以及国内外关于统计套利的研究现状。

The second chapter describes the definition of statistical arbitrage , the difference between risk-free arbitrage and statistical arbitrage , statistical arbitrage strategy , as well as domestic and international research status about statistical arbitrage .

配对交易策略在华尔街至少有20多年的历史了，是统计套利的一种工具，目前广泛地被对冲基金以及投资银行使用。

One popular short-term speculation strategy is known as " pairs trading " . The strategy has at least a20-year history on Wall Street and currently used by hedge funds as well as investment banks .

本文最后将突变理论引进到统计套利中，突变理论是指在某个节点的前后时间序列的统计特征发生了变化。

Finally this paper applies catastrophe theory into statistical arbitrage . What catastrophe theory means is that there exists a change point , and the statistical character of time series before and after the point is different .

统计套利是一种可以脱离市场趋势判断在较低的投资风险下获得稳定收益，获取超额绝对回报的市场中性策略，该策略只适用于有做空机制的市场。

Statistical arbitrage is one kind of market neuter strategy without regard of market trend . This strategy can gain more stable earnings under lower investment risk which is only suit for market with short mechanism and long mechanism .

本文结合了行为金融和统计套利的方法既从行为金融的角度对中国股票市场进行了分析，又使用了国外较为流行的统计套利方法进行了实证分析与研究。

In this paper , the behavior of financial and statistical arbitrage approach both from the perspective of behavioral finance analysis of Chinese stock market , but also more popular with foreign arbitrage methods of statistical analysis and empirical research .

综上，本文研究的策略套利效果整体较好，充分体现了统计套利不受市场整体走势影响的优势，为高频统计套利的策略构建提供了新思路。

In conclusion , the arbitrage strategies effects of our paper are better on the whole , and fully embodies the market advantages of statistical arbitrage out of the market trend , providing a new idea to build high-frequency statistical arbitrage strategy .

首先对动态统计套利和传统统计套利进行比较，通过收益率，交易次数，交易成功率等多个指标比较得到动态方法下套利收益更稳定，套利机会更多，交易成功率也更高。

Firstly , comparing the dynamic statistical arbitrage and traditional statistical arbitrage through yields , transaction times , transaction success rate and so on , we found dynamic method gains more stable profit , more arbitrage opportunities and higher trading success rate .

再引入国外新提出的统计套利概念&标准套利的一种扩展形式，通过对标准套利与统计套利的比较，得出：统计套利在预期收益为正的条件下，就是标准套利；

Then introducing the concept of statistical arbitrage that put forward newly , it is the extended form of standard arbitrage . By comparing standard arbitrage and statistical arbitrage , educes that statistical arbitrage is standard arbitrage under the condition that expected return is positive ;

首先对股指期货套利理论进行了详细的阐述，推导了基于持有成本的股指期货跨期套利模型，之后详细介绍了基于协整的统计套利的定义、套利实施策略以及检验方法。

Detailed description of the first stock index futures arbitrage theory , intertemporal arbitrage model based on the cost of ownership of stock index futures is derived after detailed definition based on the the cointegration statistical arbitrage , arbitrage implementation strategies , and test methods .

投资者正尝试着解析亚洲纸尿裤市场的人口统计特征、套利窗口、瓶颈以及扭曲状况。据里昂证券（CLSA）预计，到2030年亚洲纸尿裤市场的年销售额将从目前的120亿美元上涨至450亿美元。

Investors are trying to parse the demographics , arbitrage windows , bottlenecks and distortions of an Asian nappy market with annual sales of about $ 12bn , forecast by CLSA to reach $ 45bn by 2030 .

量化投资根据历史数据进行统计分析，以发现可能存在的资产收益率模式，并据此进行投资操作；统计套利属于量化投资的一种形式，是考虑了对冲手段的量化投资。

Quantitative investment is based on historical data to find some patterns of asset return which can be used to invest . Statistical arbitrage is one of quantitative investment method which take hedging into account .