基于部分协整的JSE统计套利

IF 1.2 4区 经济学 Q3 BUSINESS, FINANCE
A. Hoffman
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引用次数: 3

摘要

摘要早期形式的统计套利利用了从具有共同移动趋势的工具对中提取的模型误差的均值回归。Engle和Granger以及Johansen将Pairs交易扩展到包括几个共同集成的工具。Clegg和Krauss提出了部分协积分,以考虑包含随机游动和均值回归分量的模型误差。在本文中,我们使用卡尔曼滤波器方法实现了部分协积分的修改版本,该方法允许优化均值回归误差分量的行为。1990年1月至2020年11月期间,根据约翰内斯堡证券交易所各行业的会员资格编制了合并股票。我们证明了卡尔曼滤波器增益的最优选择能够提高部分协整策略产生的风险调整收益。我们优化了定义部分协整交易策略的参数,发现它显著优于市场回报和基于正常协整的策略。我们观察到,与牛市周期相比,熊市周期的回报率更高,这使得基于部分协整的统计套利成为一种有吸引力的选择,可以与牛市期间表现良好的交易策略相结合。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Statistical arbitrage on the JSE based on partial co-integration
ABSTRACT Early forms of statistical arbitrage exploited the mean reversion of a model error extracted from pairs of instruments with a tendency to move together. Pairs trading was extended by Engle and Granger and by Johansen to include several co-integrated instruments. Partial co-integration was proposed by Clegg and Krauss to allow for model errors that contain both random walk and mean-reverting components. In this paper we implement a modified version of partial co-integration using a Kalman filter approach that allows the behaviour of the mean-reverting error component to be optimised. Co-integrated sets of shares are compiled over the period from January 1990 to November 2020 based on membership of sectors on the Johannesburg Stock Exchange. We demonstrate that optimal selection of the Kalman filter gain enables the improvement of risk-adjusted returns generated by the partial co-integration strategy. We optimise the parameters that define the partial co-integration trading strategy and find that it significantly outperforms market returns and a strategy based on normal co-integration. We observe higher returns during bear cycles compared with bull cycles, making statistical arbitrage based on partial co-integration an attractive option to combine with trading strategies that perform well during bull markets.
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来源期刊
Investment Analysts Journal
Investment Analysts Journal BUSINESS, FINANCE-
CiteScore
1.90
自引率
11.10%
发文量
22
期刊介绍: The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.
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