國立高雄大學圖資館 |

語系: 繁體中文

說明(常見問題)

圖資館首頁

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

共整合統計套利投資策略期望報酬之估計方法 = Estimation fo...

國立高雄大學統計學研究所碩士班

共整合統計套利投資策略期望報酬之估計方法 = Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies
作者:	盧建弘,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	民103[2014]
面頁冊數:	35葉圖，表格 : 30公分;
標題:	共整合
標題:	normal mixture
電子資源:	http://hdl.handle.net/11296/ndltd/67397134033227014598
附註:	106年10月31日公開
附註:	參考書目：葉23
附註:	附錄：引理1的證明
摘要註:	本文考量如何有效估計由具共整合(co-integration)效應資產所組成之統計套利(statistical arbitrage)投資策略的期望報酬，在該投資策略之報酬率滿足獨立且同分布的假設下，提出一具有封閉遞迴表達式的估計方法。應用本文所提出的方法可大量縮短傳統上利用模擬方法估計投資策略期望報酬的計算時間。在假設投資策略之報酬率滿足常態、混和常態(normal mixture)或高斯核分佈(Gaussian kernel distribution)等三種情況下，模擬結果顯示該方法皆可快速地得到精確的估計結果。此外，在加入交易成本考量時，應用本文所提出的估計方法亦有助於設立最佳共整合統計套利投資策略。實證研究方面，本文以台灣中型一百指數在2010年1月至2014年3月17日期間的資料為對象，觀察所提出之最佳投資策略的獲益能力。 This study proposes an efficient estimate for the expected returns of co-integration based statistical arbitrage trading strategies. If the returns of the trading strategy are independent and identically distributed, a recursive closed-form representation of its expectation is established. The proposed estimation is capable of significantly saving much more computational effort than traditional simulation based methods. Numerical results indicate that the proposed method obtains accurate estimates effectively if the returns of a co-integration based statistical arbitrage trading strategy are normal, normal mixture or Gaussian kernel distributed. In addition, under consideration of transaction costs, the optimal co-integration based statistical arbitrage trading strategy is obtained effectively by the proposed estimate. The empirical study employs the data of Taiwan Mid-Cap 100 Indices during the period from January 1, 2010 to March 17, 2014 to investigate the performance of the proposed optimal trading strategy with transaction costs.

共整合統計套利投資策略期望報酬之估計方法 = Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies
盧, 建弘

共整合統計套利投資策略期望報酬之估計方法 = Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies / 盧建弘撰 - [高雄市] : 撰者, 民103[2014]. - 35葉 ; 圖，表格 ; 30公分.
106年10月31日公開參考書目：葉23附錄：引理1的證明.
共整合normal mixture

共整合統計套利投資策略期望報酬之估計方法 = Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies
LDR:03208nam0 2200289 450 001 430091
005 20171103092804.0
010 0 $b 精裝
010 0 $b 平裝
100 $a 20141027y2014 k y0chiy50 e
101 0 $a chi $d chi $d eng
102 $a tw
105 $a ak am 000yy
200 1 $a 共整合統計套利投資策略期望報酬之估計方法 $d Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies $z eng $f 盧建弘撰
210 $a [高雄市] $c 撰者 $d 民103[2014]
215 0 $a 35葉 $c 圖，表格 $d 30公分
300 $a 106年10月31日公開
300 $a 參考書目：葉23
300 $a 附錄：引理1的證明
314 $a 指導教授：黃士峰教授
328 $a 碩士論文--國立高雄大學統計學研究所
330 $a 本文考量如何有效估計由具共整合(co-integration)效應資產所組成之統計套利(statistical arbitrage)投資策略的期望報酬，在該投資策略之報酬率滿足獨立且同分布的假設下，提出一具有封閉遞迴表達式的估計方法。應用本文所提出的方法可大量縮短傳統上利用模擬方法估計投資策略期望報酬的計算時間。在假設投資策略之報酬率滿足常態、混和常態(normal mixture)或高斯核分佈(Gaussian kernel distribution)等三種情況下，模擬結果顯示該方法皆可快速地得到精確的估計結果。此外，在加入交易成本考量時，應用本文所提出的估計方法亦有助於設立最佳共整合統計套利投資策略。實證研究方面，本文以台灣中型一百指數在2010年1月至2014年3月17日期間的資料為對象，觀察所提出之最佳投資策略的獲益能力。 This study proposes an efficient estimate for the expected returns of co-integration based statistical arbitrage trading strategies. If the returns of the trading strategy are independent and identically distributed, a recursive closed-form representation of its expectation is established. The proposed estimation is capable of significantly saving much more computational effort than traditional simulation based methods. Numerical results indicate that the proposed method obtains accurate estimates effectively if the returns of a co-integration based statistical arbitrage trading strategy are normal, normal mixture or Gaussian kernel distributed. In addition, under consideration of transaction costs, the optimal co-integration based statistical arbitrage trading strategy is obtained effectively by the proposed estimate. The empirical study employs the data of Taiwan Mid-Cap 100 Indices during the period from January 1, 2010 to March 17, 2014 to investigate the performance of the proposed optimal trading strategy with transaction costs.
510 1 $a Estimation for the Expected Returns of Co-Integration Based Statistical Arbitrage Trading Strategies $z eng
610 # 0 $a 共整合 $a 高斯核分佈 $a 統計套利 $a 混和常態
610 # 1 $a normal mixture $a Gaussian kernel distribution $a co-integration $a statistical arbitrage
681 $a 008M/0019 $b 343201 2111 $v 2007年版
700 1 $a 盧 $b 建弘 $4 撰 $3 673320
712 0 2 $a 國立高雄大學 $b 統計學研究所碩士班 $3 769419
801 0 $a tw $b NUK $c 20171030 $g CCR
856 7 # $u http://hdl.handle.net/11296/ndltd/67397134033227014598 $2 http $z 電子資源