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根据时变领先滞后关系选择配对交易标的

文章 arXiv papers · 作者: Kartikay Gupta et al.
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总结

本研究提出一种股票配对选择距离指标，将两只股票之间的领先滞后关系纳入考量。研究从相关证券不一定同步变动这一观察出发：一只股票可能倾向于先于另一只作出反应。以往的配对选择指标没有纳入这种时间关系。所提指标还允许估计出的领先滞后值随时间连续变化，以刻画并非固定不变的关系。

作者使用印度和美国公司的数据集检验该方法。据报告，将新指标与平方差之和 (SSD) 结合选择配对，在所比较的指标中持续获得最高利润。这是来自研究实验的证据，并非实盘交易盈利的保证。所提供的描述没有说明样本时期、交易成本假设、交易规则或统计不确定性，而这些因素都会影响对所报告表现能否推广的判断。

核心观点

  • 配对选择指标可以纳入哪只股票倾向于领先或滞后另一只股票。
  • 所提的领先滞后关系允许随时间变化。
  • 研究使用印度和美国公司的数据集检验该指标。
  • 实验报告称，将新指标与 SSD 结合可获得最高利润。
  • 描述缺少成本和样本时期等实施及评估细节，因此对实盘表现的结论有限。

标签

股票配对交易统计学回测
全文
# Selecting stock pairs for pairs trading while incorporating lead-lag relationship


# Selecting stock pairs for pairs trading while incorporating lead-lag relationship









Pairs Trading is carried out in the financial market to earn huge profits from known equilibrium relation between pairs of stock. In financial markets, seldom it is seen that stock pairs are correlated at particular lead or lag. This lead-lag relationship has been empirically studied in various financial markets. Earlier research works have suggested various measures for identifying the best pairs for pairs trading, but they do not consider this lead-lag effect. The present study proposes a new distance measure which incorporates the lead-lag relationship between the stocks while selecting the best pairs for pairs trading. Further, the lead-lag value between the stocks is allowed to vary continuously over time. The proposed measures importance has been show-cased through experimentation on two different datasets, one corresponding to Indian companies and another corresponding to American companies. When the proposed measure is clubbed with SSD measure, i.e., when pairs are identified through optimising both these measures, then the selected pairs consistently generate the best profit, as compared to all other measures. Finally, possible generalisation and extension of the proposed distance measure have been discussed.

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。