实际投资管理条件下无衍生品优化的最优多对交易策略

Q4 Decision Sciences

Journal of the Operations Research Society of Japan Pub Date : 2017-07-25 DOI:10.15807/JORSJ.60.244

R. Yamamoto, Norio Hibiki

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引用次数: 3

摘要

配对交易策略在股票市场上至少有30年的历史，由于其可理解性，是当今最常用的交易策略之一。最近，Yamamoto和Hibiki[13]用一种新的方法研究了交易成本、离散再平衡间隔、有限投资期限等实际基金管理条件下的最优对交易策略。然而，该方法不能解决多对问题，因为该问题是一个基于大规模模拟的非连续优化问题。在本研究中，我们建立了一个模型来解决实际基金管理条件下使用多对的最优配对交易策略问题。在此基础上，我们提出了一种基于导数无优化(DFO)方法的启发式算法来有效地解决这一问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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OPTIMAL MULTIPLE PAIRS TRADING STRATEGYUSING DERIVATIVE FREE OPTIMIZATIONUNDER ACTUAL INVESTMENT MANAGEMENT CONDITIONS

Pairs trading strategy has a history of at least 30 years in the stock market and is one of the most common trading strategies used today due to its understandability. Recently, Yamamoto and Hibiki [13] studied optimal pairs trading strategy using a new approach under actual fund management conditions, such as transaction costs, discrete rebalance intervals, finite investment horizons and so on. However, this approach cannot solve the problem of multiple pairs because this problem is formulated as a large scale simulation based non-continuous optimization problem. In this research, we formulate a model to solve an optimal pairs trading strategy problem using multiple pairs under actual fund management conditions. Furthermore, we propose a heuristic algorithm based on a derivative free optimization (DFO) method for solving this problem efficiently.

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来源期刊

Journal of the Operations Research Society of Japan 管理科学-运筹学与管理科学

CiteScore

0.70

自引率

0.00%

发文量

审稿时长

12 months

期刊介绍： The journal publishes original work and quality reviews in the field of operations research and management science to OR practitioners and researchers in two substantive categories: operations research methods; applications and practices of operations research in industry, public sector, and all areas of science and engineering.