Research Of Statistical Arbitrage Strategy Of Small-cap Stocks In The A-share Market

Statistical arbitrage, as a kind of quantification method of building, has more than30years of development history in the United States; this strategy is derived from the basic principle of matching transactions. At the beginning of the birth, statistical arbitrage will give its users with amazing return on investment, through continuous improvement and correction, in overseas developed market economy. But the age of the Chinese stock market is only about thirty years, whether the microstructure of market,types of financial products and the quality of investors is insufficient, compared with advanced economies. So a lot of foreign advanced products, theories and models are often difficult to find a suitable way to the use in our country. But from another point of view, this is also o an special advantage which the capital market of china has, if our capital market development lags behind the developed countries, the strategy had been tested and considered to be effective, in the capital markets of developed countries. Then the model and method can be found in our country. And statistical arbitrage is such a method that is worth introducing and learning strategies.To our financial system,2010is a landmark year, margin and stock index futures were opened in Shanghai and Shenzhen exchange. That’s really a big step forward, also made it possible for the application of statistical arbitrage in China. Before2010, few domestic researches on statistical arbitrage, a small amount of literature just treated the closed fund as the research object. After2010, both in the practical application and theoretical research, lots of results about relevant statistical arbitrage sprang up.Many existing research proved that statistical arbitrage strategy is also effective in China’s equity market, but the researchers also set the large-cap stocks as the research object, especially the bank stocks. If the research objects are always the large-cap stocks, it will be hard to completely illustrate the problem. On the other hand, the existing research literatures in our country are almost relative lack of financial and economic theory; tend to put the study emphasis on the data mining of share price series. Based on these two problems, this article will research the application effect of statistical arbitrage strategy on small cap stock in China, and Apply more finance knowledge and ideas to the trading strategy. These two points are also the innovation of this article.