欧洲能源商品期货股票套利

 

 

 

 

Hedge Fund Research，Volume 2，2013

E:\cointegration\Relative-Value_Arbitrage_in_the_Energy_Commodity_Markets

第一部分 简介

最小距离法则 

针对软商品（玉米，大豆和小麦），检验了基于相对价值套利策略的协整概率 【注：原文有错】 。

第二部分 相对价值套利背景

相对价值套利：

固定收入套利

可转换套利

市场中性

第三部分  理论背景

一价定律

类一价定律（Near LOP）

随机折扣因素

紧密融合市场

套利定价理论（ATP）

稳定性和协整

弱稳定性

单元根检验

协整

协整和APT之间的联系

协整估算

单一等式模型

向量自回归模型

约翰森最大似然方法估算

第四部分   欧洲能源商品市场经验研究

数据描述

方法论

格式化阶段

交易阶段

附录A  紧密融合市场

附录B 特异性和汇总统计

附录C  配对协整和配对选择

附录D 用本地货币进行配对交易

目录： e:\cointegration

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• prices=hist_stock_data(S,E,symbole');

prices的结构及存储形式，参考volumen=prices(t).Volume(prices(t).Volume~=0,:) 用法

•  [C,IA,IB] = intersect(A,B) 也返回索引向量IA和IB，如C=A(IA) 和 B(IB)。若A或B中有重复的相同值，那么返回该重复值第一次出现的索引。

a = [9 9 9 9 9 9 8 8 8 8 7 7 7 6 6 6 5 5 4 2 1]

       b = [1 1 1 3 3 3 3 3 4 4 4 4 4 10 10 10]

 

       [c1,ia1,ib1] = intersect(a,b)

       % returns

       c1 = [1 4], ia1 = [21 19], ib1 = [3 13]

• Kwiatkowski-Phillips-Schmidt-Shin Test (KPSS)

kpsstestKPSS test for stationarity

Syntax

h = kpsstest(y)

h = kpsstest(y,'ParameterName',ParameterValue,...)

[h,pValue] = kpsstest(...)

[h,pValue,stat] = kpsstest(...)

[h,pValue,stat,cValue] = kpsstest(...)

[h,pValue,stat,cValue,reg] = kpsstest(...)

Description

h = kpsstest(y) assesses the null hypothesis that a univariate time series y is trend stationary against the alternative that it is a nonstationary unit-root process.

h = kpsstest(y,'ParameterName',ParameterValue,...) accepts optional inputs as one or more comma-separated parameter-value pairs. 'ParameterName' is the name of the parameter inside single quotation marks. ParameterValue is the value corresponding to 'ParameterName'. Specify parameter-value pairs in any order; names are case-insensitive. Perform multiple tests by passing a vector value for any parameter. Multiple tests yield vector results.

[h,pValue] = kpsstest(...) returns p-values of the test statistics.

[h,pValue,stat] = kpsstest(...) returns the test statistics.

[h,pValue,stat,cValue] = kpsstest(...) returns critical values for the tests.

[h,pValue,stat,cValue,reg] = kpsstest(...) returns a structure of regression statistics.

• Johansen cointegration test

jcitest ： Johansen cointegration test  is part of the Matlab Econometrics Toolbox.

Syntax

[h,pValue,stat,cValue,mles] = jcitest(Y)
[h,pValue,stat,cValue,mles] = jcitest(Y,Name,Value) 

Description

Johansen tests assess the null hypothesis H(r) of cointegration rank less than or equal to r among the numDims-dimensional time series in Y against alternatives H(numDims) (trace test) or H(r+1) (maxeig test). The tests also produce maximum likelihood estimates of the parameters in a vector error-correction (VEC) model of the cointegrated series.

[h,pValue,stat,cValue,mles] = jcitest(Y) performs the Johansen cointegration test on a data matrix Y.

[h,pValue,stat,cValue,mles] = jcitest(Y,Name,Value) performs the Johansen cointegration test on a data matrix Y with additional options specified by one or more Name,Value pair arguments.

aic

Akaike Information Criterion for estimated model

Akaike's Information Criterion (AIC) provides a measure of model quality by simulating the situation where the model is tested on a different data set. After computing several different models, you can compare them using this criterion. According to Akaike's theory, the most accurate model has the smallest AIC. 

相关资料===============================================

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http://www.StatArbTra.de

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