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含交易成本和止损约束的最优配对交易

文章 arXiv papers · 作者: Qingshuo Song et al.
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总结

本文将配对交易建模为最优停止问题。研究考虑两种历史上相关的证券，并将其价差建模为均值回归过程。当两者相对价格偏离时，策略卖空表现较好的证券并买入表现较差的证券，目标是在价差回归收敛时获利。优化目标是在考虑每笔交易固定佣金和作为状态约束的止损条件后，使整体交易收益最大化。

作者通过表示为拟变分不等式的Hamilton–Jacobi–Bellman方程刻画价值函数。他们指出，可通过求解一组拟代数方程确定解，并给出了验证所需的充分条件。数值示例展示了所提结果。该文描述的是一个数学框架，并非实盘交易证据或广泛的实证比较；其结论取决于均值回归模型以及设定的成本和止损假设。

核心观点

  • 该策略交易两种历史相关证券之间的偏离，以期价差收敛。
  • 价差由均值回归过程表示。
  • 优化问题纳入了每笔交易的固定佣金和止损状态约束。
  • HJB 拟变分不等式刻画价值函数和最优停止决策。
  • 数值示例展示了该方法，其结论取决于模型假设。

标签

配对交易均值回归股票风险管理交易执行
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# An Optimal Pairs-Trading Rule


# An Optimal Pairs-Trading Rule









This paper is concerned with a pairs trading rule. The idea is to monitor two historically correlated securities. When divergence is underway, i.e., one stock moves up while the other moves down, a pairs trade is entered which consists of a pair to short the outperforming stock and to long the underperforming one. Such a strategy bets the "spread" between the two would eventually converge. In this paper, a difference of the pair is governed by a mean-reverting model. The objective is to trade the pair so as to maximize an overall return. A fixed commission cost is charged with each transaction. In addition, a stop-loss limit is imposed as a state constraint. The associated HJB equations (quasi-variational inequalities) are used to characterize the value functions. It is shown that the solution to the optimal stopping problem can be obtained by solving a number of quasi-algebraic equations. We provide a set of sufficient conditions in terms of a verification theorem. Numerical examples are reported to demonstrate the results.

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。