Research On The Application Of Statistical Arbitragebased On Co-integration

The stock market of China development very fast,but the stock market also changes so much.For investors,just investing on the stock for profits also have a big risk at the same time.At the same time,the quantitative method of investment in foreign stock market has been booming development and its market scale has been expanded.Since 2010,the domestic market upheaval and margin formal implementation,shorting mechanism,introduced the stock market,this played a basic role to makes the quantitative method of investment came into China.Statistical arbitrage is a kind of method of quantitative investment.It is actually a quantitative investment include with hedge,and very important in quantitative investment.There is many of this kind of article,but they cann`t realize the important of the interval.So based on the sample interval model and search for the optimal strategy this article put forward two new strategy optimization methods:accumulate the window of the arbitrage strategy and constant(fixed)the window of the arbitrage strategy.This paper constrct the model of the Shanghai A shares and find the arbitrage opportunity and profits.In empirical research.In the test set and prediction set,this paper use two new optimization strategy and fix predecessors from other people,a total of three strategies to compared and the modeling,finally make the comparison of three strategies in this paper.It was concluded that in real life,the constant(fixed)window of the arbitrage strategy chould take the new information of price into the model,and adjust their buying points,this chould gain more benefits than fixed arbitrage strategy when the market price fluctuations.Although the accumulate the window of the arbitrage strategy is not gain as much as the constant(fixed)window of the arbitrage strategy,but just like the constant(fixed)window of the arbitrage strategy,this arbitrage strategy can also take the new share price difference information into the strategy model timely,and to adjust buying points to adapt to the market environment.Other people find out the co-integration relationship before searching for its spread arbitrage opportunities,this article take the preliminary analysis of the stock price first,then take the corresponding stock to do the co-integration test to see if it has a long-term equilibrium relationship,this can greatly reduce the workload.