基于ROC曲线的统计套利模型
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- 英文论文题名：Statistical Arbitrage Model Based on the ROC Curve
- 论文作者：黄亮 ; 房勇
- 英文论文作者：HUANG Liang ; FANG Yong ; Academy of mathematics and Systems Science ; Chinese Academy of Sciences
- 年：2016
- 作者机构：中国科学院数学与系统科学研究院;
- 论文关键词：统计套利模型 ; ROC曲线 ; 投资策略
- 英文论文关键词：statistical arbitrage model ; ROC curves ; invest strategy
- 会议召开时间：2016-11-12
- 会议录名称：第十八届中国管理科学学术年会论文集
- 英文会议录名称：Proceedings of the 18th Chinese Annual Conference on Management Science
- 语种：中文
- 分类号：F832.51
- 学会代码：ZHYJ
- 会议名称：第十八届中国管理科学学术年会
- 会议地点：中国陕西西安
- 主办单位：中国优选法统筹法与经济数学研究会、西安交通大学、中国科学院科技战略咨询研究院、《中国管理科学》编辑部
- 学会名称：中国优选法统筹法与经济数学研究会
- 页数：6
- 文件大小：376k
- 原文格式：O
- 会议级别：全国
摘要
针对传统统计套利模型缺乏度量风险指标和没有给出最优的持有周期的缺陷,本文构建了基于ROC曲线的统计套利模型,首先是检验资产组合是否服从均值回复过程,若服从,则可以实施统计套利;其次是用AUC指标度量统计套利的风险,根据AUC指标和期望收益进行资产权重配置和确定持有周期,根据YI指标确定组合的均衡点,最后是实施统计套利策略。通过数值模拟分析,表明ROC曲线能够检验资产组合是否满足均值回复过程,进而结合A股市场进行实证分析,在不考虑交易成本的情况下和市场允许卖空的情况下,基于ROC曲线的统计套利模型能够获得相对稳定的收益。
The traditional statistical arbitrage model is lack of the indicators measuring risk and the optimal holding period.This paper build statistical arbitrage model based on the ROC curves.The first is that this model can test whether the portfolio meets the mean reversion process,the second is that this model use the indicator AUC to measure the risk of the statistical arbitrage and make asset allocation decision and holding period according to the indicator AUC and the expected return,the third is to determine the equilibrium value of the portfolio according to the YI indicator.Finally,it can be concluded that the ROC curves can test whether the portfolio meets the mean reversion process through simulation analysis and the statistical arbitrage model based on the ROC curves can obtain stable profit without considering the transaction costs and allowed short.
The traditional statistical arbitrage model is lack of the indicators measuring risk and the optimal holding period.This paper build statistical arbitrage model based on the ROC curves.The first is that this model can test whether the portfolio meets the mean reversion process,the second is that this model use the indicator AUC to measure the risk of the statistical arbitrage and make asset allocation decision and holding period according to the indicator AUC and the expected return,the third is to determine the equilibrium value of the portfolio according to the YI indicator.Finally,it can be concluded that the ROC curves can test whether the portfolio meets the mean reversion process through simulation analysis and the statistical arbitrage model based on the ROC curves can obtain stable profit without considering the transaction costs and allowed short.
引文
[1]Burgess A N.Statistical arbitrage models of the FTSE100[C],Proceedigs of The 6 th InternationalConference of Computational Finance.The MITPress,1999:297-312.
[2]Rudy J,Dunis C,Giorgioni G.Statistical arbitrage and high-frequency data with an application to eurostoxx50 equities[J].Ssrn Electronic Journal,2010,2(4):317-337.
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[4]Bertram W K.Analytic solutions for optimal statistical arbitrage trading[J].Physica A:Statistical Mechanics and its Applications,2010,389(11):2234-2243.
[5]韩广哲,陈守东.统计套利模型研究—基于上证50指数成份股的检验[J].数理统计与管理,2007,26(5):908-916.
[6]孔东明.有限套利与盈余公告后价格漂移[J].中国管理科学,2008,16(6):16-23.
[7]刘伟,陈敏,梁斌.基于金融高频数据的ETF套利分析[J].中国管理科学,2009,17(2):1-6.
[8]扈文秀,牛静,李芳,等.基于统计套利模型的商品指数期货双跨套利方案研究[J].管理评论,2013,25(9):100-107.
[9]陈晓杰.基于提前平仓的股指期货风险统计套利策略研究[J].金融经济学研究,2014(4):43-55.
[10]涂福权,陈奎生,陈建勋,等.ROC技术分析的研究现状与发展趋势[J].计算机与数学工程,2007,35(3):33-37.
[11]Yao W,Li Z,Graubard B I.Estimation of ROC curve with complex survey data[J].Statistics in Medicine,2015,34(8):1293-1303.
[12]Ma H,Bandos A I,Gur D.On the use of partial area under the ROC curve for comparison of two diagnostic tests[J].Biometrical Journal Biomet-rischeZeitschrift,2015,57(2):304-320.
[2]Rudy J,Dunis C,Giorgioni G.Statistical arbitrage and high-frequency data with an application to eurostoxx50 equities[J].Ssrn Electronic Journal,2010,2(4):317-337.
[3]Elliott R J.John V D H,William P M.Pairs trading[J].Quantitative Finance,2005,5(5):271-276.
[4]Bertram W K.Analytic solutions for optimal statistical arbitrage trading[J].Physica A:Statistical Mechanics and its Applications,2010,389(11):2234-2243.
[5]韩广哲,陈守东.统计套利模型研究—基于上证50指数成份股的检验[J].数理统计与管理,2007,26(5):908-916.
[6]孔东明.有限套利与盈余公告后价格漂移[J].中国管理科学,2008,16(6):16-23.
[7]刘伟,陈敏,梁斌.基于金融高频数据的ETF套利分析[J].中国管理科学,2009,17(2):1-6.
[8]扈文秀,牛静,李芳,等.基于统计套利模型的商品指数期货双跨套利方案研究[J].管理评论,2013,25(9):100-107.
[9]陈晓杰.基于提前平仓的股指期货风险统计套利策略研究[J].金融经济学研究,2014(4):43-55.
[10]涂福权,陈奎生,陈建勋,等.ROC技术分析的研究现状与发展趋势[J].计算机与数学工程,2007,35(3):33-37.
[11]Yao W,Li Z,Graubard B I.Estimation of ROC curve with complex survey data[J].Statistics in Medicine,2015,34(8):1293-1303.
[12]Ma H,Bandos A I,Gur D.On the use of partial area under the ROC curve for comparison of two diagnostic tests[J].Biometrical Journal Biomet-rischeZeitschrift,2015,57(2):304-320.