High-frequency stock linkage and multi-dimensional stationary processes

详细信息    查看全文

• 作者：Xi Wang ; Si Bao ; Jingchao Chen ; ^{jc_chen1005@126.com}
• 关键词：Linkage ; Multi-dimensional stationary process ; Testing program ; Ergodic theorem ; Convergence
• 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.