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| 基于协整检验的白酒股配对交易量化投资策略研究 摘要：投资策略是量化投资的核心部分， 投资模式的收益率很大程度上取决于量化投资策略建设的效果。 本文以白酒的概念成分为交易主体，将配对交易策略应用于我国股票市场， 运用协整检验方法对所选股票的收盘价序列进行了实证研究。 结果表明，该配对策略在样本内外均能获得正的Alpha回报。 实证结果表明，配对交易策略适用于中国股票市场， 可以为金融机构和个人投资者的投资行为提供一定的参考和建议。 关键词：量化投资； 配对交易； 协整检验 Abstract: Investment strategy is the core part of quantitative investment, and the yield of an investment model largely depends on the effect of the construction of quantitative investment strategy. In this paper, the concept component of liquor is selected as the trading subject, the matching trading strategy is applied to the stock market of our country, and the co-integration test method is used to conduct an empirical study on the closing price sequence of the selected stocks. It is found that the matching strategy can obtain positive Alpha returns both inside and outside the sample. The empirical results show that the matching trading strategy is applicable to China's stock market and can provide some references and suggestions for the investment behavior of financial institutions and individual investors. Key words: quantitative investment; Matching transactions; Cointegration test |
