Title:
Statistical-arbitrage-models
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- Category:
- matlab
- Tags:
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[Matlab]
[源码]
- File Size:
- 116kb
- Update:
- 2014-05-11
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- Uploaded by:
- 光辉
Description: Statistical arbitrage models-> pairs trading model
Pairs trading model is a statistical arbitrage model, is the first, most widely used models appear. I believe that with the development of Chinese short system and the emergence of financial derivatives and program trading model will shine in China.
Statistical arbitrage first appeared in the 1980s, the specific idea is, assuming that if there are two stocks between a cointegration long, then if in the short term, if the two stocks spread there was a whole market from a long-term agreement larger deviation, then we will consider such a departure from the norm of non-status. Soon after there is a great probability toward its long-term cointegration regression. Even if we are able to detect in some way to this very state of deviation, then at this moment, toward the direction of long-term co-integration bet, then we ll have a great probability of winning the bet. When the bet number is large enough, the risk is close to zero.
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File list (Check if you may need any files):
PairsTrading_FEX
................\Example_Data.mat
................\Example_Script_Pairs_Trading.m
................\m_Files
................\.......\findProfit.asv
................\.......\findProfit.m
................\.......\normdata.m
................\.......\pairs.m
................\.......\pairstrading.m
................\.......\trades.m
