| 基于 Copula 函数的程序化交易策略 |
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| 引用本文： | 张戈,程棵,陆凤彬,汪寿阳. 基于 Copula 函数的程序化交易策略[J]. 系统工程理论与实践, 2011, 31(4): 599-605. DOI: 10.12011/1000-6788(2011)4-599 |
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| 作者姓名： | 张戈 程棵 陆凤彬 汪寿阳 |
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| 作者单位： | 中国科学院 数学与系统科学研究院, 北京 100190 |
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| 基金项目： | 国家自然科学基金，中科院重要方向性项目 |
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| 摘 要： | 利用 Copula函数对序列间下尾部相关性的刻画对资产价格风险的高频传染进行检验,构造目标 函数捕捉期货市场实时交易过程中的卖空信号, 制定相应交易规则,建立一套 适用于金融市场高频数据的程序化交易策略,并利用中国期货交易市 场的白糖和棉花期货合约进行实证.实证结果显示:我国期货市场存在高频风险传染, 基于此建立的程序化交易策略可以获得较高的收益, 并可有效地控制风险.
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| 关 键 词： | 程序化交易 高频数据 Copula 函数 下尾部相关系数 |
| 收稿时间： | 2010-05-31 |
Program trading strategy based on Copula functions |
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| ZHANG Ge,CHENG Ke,LU Feng-bin,WANG Shou-yang. Program trading strategy based on Copula functions[J]. Systems Engineering —Theory & Practice, 2011, 31(4): 599-605. DOI: 10.12011/1000-6788(2011)4-599 |
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| Authors: | ZHANG Ge CHENG Ke LU Feng-bin WANG Shou-yang |
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| Affiliation: | Academy of Mathematics and Systems Science, Chinese Academy of Sciences,Beijing 100190, China |
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| Abstract: | This paper measured the coefficient of lower tail dependence between two series by using Copula functions,and established an objective function to capture the short sell signals in the real time trading process.We presented a new high-frequency trading strategy based on the signals and applied to Chinese sugar and cotton futures.The empirical results show that the proposed trading strategy gains a high and stable return,and it also manages the trading risk properly. |
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| Keywords: | program trading high-frequency data Copula function coefficient of lower tail dependence |
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