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題名：多因子模型在統計套利的運用
作者：楊哲銘
作者(外文)：Yang, Che-Ming
校院名稱：國立中正大學
系所名稱：財務金融系研究所
指導教授：陳安行
學位類別：博士
出版日期：2020
主題關鍵詞：因子模型；統計套利；複製資產；factor model；statistical arbitrage；replicating asset
原始連結：連回原系統網址new window
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我們將復制資產用於統計套利交易，其中復制資產由模仿因子模型收益的投資組合構成。以前在文獻中從來沒有在統計套利的背景下使用複制資產。我們應用傳統的統計套利方法和新穎的統計套利交易模型來驗證我們的假設。在統計套利交易模型中，我們證明復制資產和證券可以套利，並且獲得伯克希爾A股及其複制資產的平均交易時間和回報。為了穩健起見，我們應用了S＆P 500指數來驗證多因素模型的可行性。這些結果表明，通過使用多因素模型的複制資產，統計套利方法是有利可圖的。我們還計算了不同交易成本下的平均收益。我們的結果可以為基金經理考慮統計套利提供新的方向。
We make use of the replicating asset for statistical arbitrage trading, where the replicating asset is constructed by a portfolio that mimics the returns from a factor model. Using the replicating asset in the context of statistical arbitrage has never been done before in the literature. We apply traditional statistical arbitrage methods and novel statistical arbitrage trading models to verify our hypotheses. In the statistical arbitrage trading model, we prove that replicating asset and securities can be arbitrage, and we obtain the average transaction time and return of Berkshire A shares and their replicated assets. In robust, we applied the S&P 500 index to verify the feasibility of the multi-factor model. These results show that the statistical arbitrage method is profitable by using the replicating asset of the multi-factor model. We also compute the average returns under different transaction costs. Our results can provide a new direction for fund managers to think about statistical arbitrage.
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