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均值回归价差的最优进出场与止损

文章 arXiv papers · 作者: Tim Leung et al.
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总结

本研究针对均值回归价差交易提出一种时机选择方法，研究动机来自配对交易。文章将价差建模为 Ornstein–Uhlenbeck 过程，并将开仓和平仓表述为包含交易成本的双重停止问题。概率分析推导出交易进场和离场的最优价格区间。

研究在该框架中加入止损约束。结果表明，进场区间有界且位于止损价位之上；提高止损价位会降低最优止盈价位。解析和数值结果展示了交易成本与止损设定如何影响择时。文档没有提供模型方程、参数值或实证市场测试，因此它提出的是一个理论框架，并未证明这些规则在实盘交易中能够盈利。

核心观点

  • 将价差建模为 Ornstein–Uhlenbeck 过程，以表示均值回归。
  • 进场和离场被视为相互关联且计入交易成本的最优停止决策。
  • 最优进场区域有界，且位于止损价位之上。
  • 止损价位越高，最优止盈价位越低。
  • 解析和数值示例展示了结果对模型参数的敏感性。

标签

均值回归配对交易风险管理统计学
全文
# Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit


# Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit









Motivated by the industry practice of pairs trading, we study the optimal timing strategies for trading a mean-reverting price spread. An optimal double stopping problem is formulated to analyze the timing to start and subsequently liquidate the position subject to transaction costs. Modeling the price spread by an Ornstein-Uhlenbeck process, we apply a probabilistic methodology and rigorously derive the optimal price intervals for market entry and exit. As an extension, we incorporate a stop-loss constraint to limit the maximum loss. We show that the entry region is characterized by a bounded price interval that lies strictly above the stop-loss level. As for the exit timing, a higher stop-loss level always implies a lower optimal take-profit level. Both analytical and numerical results are provided to illustrate the dependence of timing strategies on model parameters such as transaction cost and stop-loss level.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。