浙江大学学报（理学版）2016，Vol.43Issue(3)：271-278,8.DOI:10.3785/j.issn.1008-9497.2016.03.004
基于混合 Copula 的 ETF 配对交易策略
Pairs trading strategy of ETF based on mixture Copula
摘要
Abstract
Pairs trading is a well‐acknowledged speculative investment strategy that is widely used in the financial markets .Distance and co‐integrated methods are the most commonly implemented pairs of trading strategies .How‐ever ,these two approaches are only able to describe the linear dependency structure between stocks .A new pairs of trading strategies based on mixture Copula method is produced .Three elementary Archimedean Copula families are used to construct mixture Copulas ,which describe the conditional dependence between assets .In the high frequency exchange traded fund (ETF) market ,it is deemed to catch more dependence informations and generate more trading opportunities .关键词
配对交易策略/混合copula/条件相关性/高频/ET FKey words
pairs trading strategy/mixture copula/conditional dependence/high frequency/ETF分类
数理科学引用本文复制引用
沈银芳,郑学东,徐信喆..基于混合 Copula 的 ETF 配对交易策略[J].浙江大学学报（理学版）,2016,43(3):271-278,8.基金项目
浙江省自然科学青年基金资助项目（LQ14G010007）；全国统计科学研究项目（2015LY45）；2015浙江省统计研究重点课题“时变混合Copula模型的构建、选择及其应用”；教育部人文社科基金资助项目（12YJC910011）． （）
