An Empirical Study On The Optimal Pair Trading Strategy Under The Geometric Brownian Motion Model In The 300ETF Option Market

The put-call parity refers to a basic relationship between their prices.Pair trading refers to a market neutral strategy based on statistical arbitrage.The strategy is based on two highly correlated securities.When the prices of the two away from the relevant trend,and this special price trend will be corrected in the future,then there will be arbi-trage opportunities.This article constructs a trading product group based on the option parity trading model,mainly refers to the article of Jingzhi Tie et al.(2017),combined with the research methods of paired trading strategy,and empirically conducts empiri-cal research on the pair trading strategiy under the geometric Brownian motion model in the domestic 300ETF options market.This article selects the 300ETF(510300.SH)as the underlying option contract prod-uct,and selects the product with better liquidity as the pre-selected investment portfolio pool.Calculate the trading strategy parameters for the sample set based on the paired trading strategy under the geometric Brownian motion model,then calculate the trad-ing strategy parameters based on the daily second-level market data sample set during the test time,set the trading signals based on the sample set model parameters and conduct back-testing on the test set.At the same time,using trading signals commonly used in pair trading to conduct back-testing on the data set as a comparison.The test results show that within the backtesting trading day,the trading signal parameters cal-culated based on the pair trading strategy under the geometric Brownian motion model have a 9%higher return effect than the commonly used trading signal parameters,the return is more stable and the adaptability is stronger.To a certain extent,it explains the applicability of the paired trading strategy under the geometric Brownian motion model in the domestic 300ETF option market.