导　　师： 杨立洪

学科专业： 070103

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 金融时间序列的分析与研究始终是经济学和统计学的一个热点,在现有竞争激烈的金融市场下,金融数据量与日俱增,时间序列分析的理论和方法对与投资者制定投资决策越来越重要。2010年3月31日,深沪交易所通知融资融券交易试点正式启动,在我国建立可以做空做多的双向交易机制,为我国投资者使用配对交易策略制定对冲策略提供了市场环境。 本文首先给出了研究背景和选题意义,其次介绍了金融时间序列的主要模型,以及配对交易策略的概念、交易特点和国内外的研究现状,最后选取行业板块中的物资外贸板块作为配对交易策略实证的股票池,从光大证券的网上行情系统获取股票池内所有股票的向前复权收盘价数据,对基于非平稳时间序列模型的配对交易策略进行了实证检验与分析。 本文的主要内容是,根据协整分析模型与配对交易策略的基本思想,对股票向前复权收盘价序列间是否存在协整关系予以识别,进而根据误差修正模型来分析序列间均衡关系的短暂偏离,并给出了各序列间的Granger因果关系实证检验结果与分析,利用样本序列内的标准差为初始值,运用GARCH模型去估计下一期的标准差σe,以动态的标准差作为配对交易策略的买卖信号,进而确定交易策略并给出实证检验的结果与分析。 Financial time series analysis and research is always a hot spot of economics and statistics,in the present competittve financial market,increasing the amount of financial data,time series analysis theory and method of making investment decisions with more and more investors important.2010.3.31,ShenZhen and ShangHai Stock Exchange notified officially launched the pilot margin trading,short in China can do more to establish two-way trading mechanism for pair trading strategies of investors in hedge strategy for the development of the market environment. This paper first reviews systematically the research on option pricing,then introduces the main models of financial time series,and the concept of pairs trading strategy,characteristics and research status at domestic and foreign,finally select the industry sector in the foreign trade sector as the pairs trading goods evidence of the stock pool of strategies,from GuangDa online stock market system for all the right to move stock closing price data, testing pairs trading strategies and analysis based on non-stationary time series model. The main content is based on cointegration model and the pairs trading strategy, on the closing price of the stock forward in the right sequence of complex inter-relationship between the existence of cointegration be identified, and then under the error correction model to analyze the sequence of short-term deviation from the equilibrium relationship between , and gives the sequence of Granger causality between the empirical test results and analysis, using the standard deviation within the sample sequence as the initial value, the use of GARCH models to estimate the standard deviation of the next phase, the standard deviation as a dynamic pair trading Strategy trading signals, trading strategies and to determine and give empirical results and analysis.

关 键 词： 协整分析 误差修正模型 因果关系 模型 配对交易

分 类 号： [F224 F830.9]

领　　域： [经济管理] [经济管理]