Research On Matching Trading Strategy Of Margin Trading And Securities Lending Of Guotai Junan Securities Gansu Branch

The basic idea of paired trading is that if there are some similar characteristics between the individual stocks of two listed companies,when the relative price difference of the stock pair exceeds a specific standard,do the securities lending operation,sell the relatively overvalued individual stocks,and synchronously complete the ordinary purchase or financing purchase of another relatively undervalued individual stock.When their price difference returns to near the average value,close the short stocks by selling the securities,Close long positions through ordinary selling or repayment by selling bonds,so as to obtain relative income.This paper takes the two financial target securities of Guotai Junan Securities Company as the background.With the continuous development of quantitative trading in China in recent years,the securities lending scale of Guotai Junan Securities is also growing.By June 2021,the average daily securities lending balance has exceeded 10 billion,which provides a solid backing for the short selling idea in matching trading.According to the basic idea of matching transaction,combined with correlation analysis,stationarity test and cointegration analysis,this paper studies the profit of the matching transaction of the subject matter of margin trading in the banking sector.This paper takes the closing price of individual stocks from January 1,2019 to June30,2021 as the experimental research object,establishes the stock price spread regression model,adds the conditions of opening,closing and forced closing,and obtains relatively good returns through the back test of the strategy.In the process of strategy backtesting,some stock pairs also have large losses.Through analysis,it can be concluded that when the style of the market changes and the overall market changes from a volatile market to a unilateral market,the object studied in this paper obviously has a large retreat,resulting in the selected parameters no longer applicable to this strategy research.It can be concluded that the market environment suitable for paired trading is mainly shock market.The rise and fall of unilateral market has high requirements on the strategy of paired trading.It is necessary to adjust the parameters in real time according to the market changes to add various uncertainties to the operation of the strategy.It is not only time-consuming but also time-consuming in the research of quantitative operation in this paper.Therefore,the use of Python in the research of batch trading can not only obtain the ideal effect of quantitative operation,but also in the research of stock trading.The purpose is to provide some guidance for investors in practical operation,that is,the paired trading strategy is a neutral strategy,which is suitable for operation in a volatile market.Unilateral ups and downs have high requirements for paired trading,so you can choose to change the strategy to achieve the ideal income.The innovation of this paper also lies in the application of third-party software to batch process data and empirical analysis,which provides a reference for batch processing of individual stocks.