| In recent years,the popularity of machine learning and artificial intelligence technology has made quantitative investment more used.As a kind of quantitative investment,pair trading has gradually become a common neutral trading strategy.It is currently widely used in the stock market.The principle is to select two targets with similar trends in the market.When the underlying spread exceeds a certain threshold,short the underlying with a higher relative price and go long on the underlying with a lower relative price,and close the position when the underlying spread returns to the normal range.Due to the restrictions on the A-share trading mechanism and supervision,matching trading started relatively late in our country.After the launch of the margin financing and securities lending business and the opening of the Shanghai-Shenzhen-Hong Kong Stock Connect business,the domestic matching trading business began to develop and has been widely promoted in recent years.Virtual currency refers to non-real currency.The virtual currencies studied in this article refer to encrypted digital currencies,which rely on blockchain technology.For example,Bitcoin,Ethereum,etc.,there are few studies on virtual currency pairing transactions at present.The existing research is mainly based on the co-integration method for paired trading of some currencies.The limitations and contingency of the research are large,and the comparison with the stock market pairing trading is lacking.This article reveals some characteristics of the virtual currency trading market by selecting mainstream virtual currencies and some platform currencies for pairing transactions,and compares the research results with the pairing transactions in the stock market to provide investors with a decision-making reference.This paper first conducts an empirical analysis based on the most common co-integration method,selects mainstream coins and platform coins for pairing transactions,and compares the similarities and differences between the two;The feasibility and pros and cons of pairing trading are given,and the empirical analysis results and conclusions are given. |
