Based On Pairs Trading Strategy Research On Securities Marginconch Cement And Huaxin Cement,for Example

Paired trading is an arbitrage method of statistical arbitrage, it is unique importance in hedging strategy. While China’s stock market has not been mature application, but in the foreign securities market has been a mature application. As the rapid development of Securities lending and borrowing market、stock index futures market, and the launch of the Shanghai 50 EFT options market in China, makes the shorting mechanism securities market is forming and will be more perfect in China. The perfection of these short tools also promote the pairing and various hedging strategies rapidly developed in the securities market in China, Institutional investors are in pursuit of absolute return as the goal, those who will be paired with the rapid development of trading and hedging strategies and rapid development.This paper is mainly on the basis of securities margin trading to introduce the pairs trading strategy, and simulate the pairs trading strategy in the application of the securities market in China. In this paper, we select Anhui Conch Cement and Huaxin Cement as the object, because their main business is the same, have relatively response to market information, and also have good liquidity stocks. Through correlation analysis, unit root test and co-integration test, I found that they are very suitable for application of paired trading in order to get absolute return. That’s why I selected them as research object.In this paper, simulation results show that the constructed pairs trading system of Anhui Conch Cement and Huaxin Cement were running well. This way, both of them acquire the investment income which is higher than the market gains. If we get the pairs trading strategy of investment portfolio and other combination together, it can improve the whole portfolio investment income. Because securities lending and borrowing have certain requirements of investor’s capital, not every stock can be margin, making margin among investors is not widely used, the pairs trading strategy has not been thorough research. But with the continuous development of the securities lending and borrowing, pairs trading strategy research will get a rapid development in china. This paper is mainly based on the margin as a basis for the study of pairs trading, and the use of real data to study the practicality of pairs trading, provide a reference for future mature pairs trading strategy can be widely applied.