Empirical Analysis Of Securities Investment Statistical Arbitrage Strategies

It is an unordernary year in the history of financial market of China in2011. The official launch of margin financing has not only brought the shortingmechanism to the securities market of China but also end the era of onewaymarket. The securities market of China will also enter the opportunities formore, more efficient and market-oriented higher degree of a new period. A lotof investment philosophy and strategy of the widely used in developedcountries will also take root in China shine. Including statistical arbitrageinvestment strategy and technology.This article is in this backdrop, by drawing on financial statistics ofdeveloped countries arbitrage investment philosophy Empirical Analysis forthe Chinese mainland stock market, can be considered statistical arbitragepreliminary exploration in China.Through long-term investments in securities practice, people have come upa lot of laws and investment strategies, including the long-run equilibriumrelationship between stock and stock prices in a short time to break thisbalance between the "vision" between arbitrage Statistical arbitragestrategies. This article by the introduction of statistical arbitrage,analysis and empirical testing confirmed the feasibility of application ofthis investment strategy in the Chinese mainland stock market.Statistical arbitrage strategies there are many specific methods, thispaper, the most widely used cointegration strategy and principal componentanalysis strategy. Obtained through the comparison of these two methods ofprincipal component analysis more efficient, more practical generalconclusions in the domestic market. In the empirical analysis, we use theresidual processing model and sample period outside the window of timeextrapolation method. After the comparative analysis we have come to use thenormal distribution and the mean regression model processing residuals, usingdaily pan window of time extrapolation method yields conclusions.