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本文提出建立上证50指数期货与50ETF期权间高频统计套利模型。利用O-U随机过程求解最优交易点,结合GARCH模型优化算法。对以上策略进行实证分析,回测结果表明,O-U随机过程能很好地描述价格随机波动,据此建立的交易模型套利效果明显。其中GARCH模型对高频数据的修正能有效消除噪音,对交易点的制定有一定优化效果。
This paper proposes the establishment of a high-frequency statistical arbitrage model between the SSE 50 Index futures and the 50 ETF options. Use O-U stochastic process to solve the optimal trading point, combined with GARCH model optimization algorithm. The empirical analysis shows that the O-U stochastic process can well describe the price volatility well, and the arbitrage effect of the trading model is obvious. Among them, the correction of high-frequency data by GARCH model can effectively eliminate the noise and has certain optimization effect on the formulation of trading points.