刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
出版时间:15 February 2017
年:2017
卷:468
期:Complete
页码:70-83
全文大小:945 K
卷排序:468
文摘
Chinese stock linkage points are selected from high-frequency data using multi-dimensional stationary processes. A new method for testing multi-dimensional stationary processes is proposed as an extension of the one-dimensional stationary ADFtest. The linkage points are selected using multi-dimensional stationary process indicators. The effectiveness of the linkage points are proven using a statistical arbitrage strategy designed using only linkage points.