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15Ï uÀ“‰ŒÆÆ(g,‰Æ‡) No.

5
2013 c 9  Journal of East China Normal University (Natural Science) Sep. 2013

©Ù?Ò: 1000-5641(2013)05-0144-08

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(uÀ“‰ŒÆ 7K†ÚOÆ, þ° 200241)

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Ϫ³, st L«í IO , εt IOzí . Xê ax (t) † ay (t) ½, st †ª³‘
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|^²­L§ {εt } ?1@|pª´{, ¿òd{A^¥I½|6Ä5rn
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¥ã©aÒ: O213, O211.9 ©zI£è: A DOI: 10.3969/j.issn.1000-5641.2013.05.018

ETF arbitrage research on China financial markets

CHEN Shi, WU Shu-jin, ZHENG Wei-an
(School of Finance and Statistics, East China Normal University, Shanghai 200241, China)

Abstract: This paper first proposed a new model to describe the relationship between
two paired asset prices: ax (t)Xt − ay (t)Yt = mt + st εt , where Xt and Yt denote the prices
of two paired financial assets at time t, ax (t) and ay (t) the matching coefficients, mt the
long-term trend, st the standard deviation of residual, and εt the standardized residual.
When ax (t), ay (t), mt and st are constants, the model is reduced to a kind of two-variable
cointegration model. Based on this new model, the paper proposed a statistical arbitrage
method for high-frequency trading using the stationary process {εt }. As its application,
this method was used on three major ETFs in China financial markets and achieved very
stable and high revenue on all three pairs.
Key words: high frequency trading; statistical arbitrage; stationary process

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ÅÄÇ {st (ax . Ӟ±k ay (t) ØÞހ Y . 3 ëê9L§O 3 ? 1 @ | ƒ c. l y @|´¤±kހ'~­½5. Šâ)ö². Œ±æ^k ùÈŐ{. (2) 3e©¥. ay (t)). du3pª´¥. (4) . ay (t)).t. ay (t)) . . éu ax (t) † ay (t).©OP mt . ay (t) ∈ N+ (3) s.(2)¥ Ä k I ‡  O Ñ {ax (t)}. . ay (t)) + st (ax (t). 3@|´¥Òé AX@||܈‡©|¦ê±ØC.½éXê ax † ay . ay (t))}. {mt (ax (t). Ù¥ c > 0 üÑmóëê. ⌱?˜ÚOÑ {εt (ax (t). √ √   |ax (t) √ V (DXt )−ay (t) V (DYt )| √ < threshold. ²w{ At = αXt + (1 − α)At−1 . … εt−1 > −d … εt < −d. Ӟ threshold=30%. éu ax (t) ≡ ax † ay (t) ≡ ay žmãS. V (DYt ) = Var(Yt − Yt−1 ).  ©æ^L˜±d‚ÅĐ ŠÙO. max{ax (t) V (DXt ). K3 t ž²ó. |^þ¡Ž {E. ay (t))}. Ïd. ´3¢S@ |L§¥. K 3 t žñÑ|Ü B mó. æ^L˜ ãžmS] X Ú Y d‚ÅĐ ©OŠ Var(Xt − Xt−1 ) Ú Var(Yt − Yt−1 )O. ©3©Û¢y¯Kžÿþ c = 2. ay (t) V (DXt )} Ù¥ V (DXt ) = Var(Xt − Xt−1 ). Œ±ƒéA mt O. 146 uÀ“‰ŒÆÆ(g. st Ú εt . 2 ´üÑ ò ax (. kžÿ mt (ax (t). e8c3‰˜ ó . Ø 7?1kºxހN. ay )}. mó:: e εt−1 > −c … εt < −c.5. =B5ª³u) âC. Ù¥ d > 0 üѲóëê. k|u´éXê ´žC. d uéuz˜é½ ax (t) = ax † ay (t) = ay .Œ±£ãéõ]éd L§.)X − ay (. ±óžmÏ~éá. þk†ƒéAª³‘ {mt (ax .)Y À˜‡#Ý]|Ü B. K3 t ž²ó. st (ax (t). {ay (t)}. ay (t))} o‡™L§. ©æ^OŽƒé{üê£Ä²wEâ.Œ±é¯²ó. ay )} †²­L§ {εt (ax .‰Æ‡) 2013 c . ²ó:: e8c3‰õó . ؘŽ›^‡. þª›^‡ ˜‡^‡y ax (t) † ay (t) ¿šª„Cz. … εt−1 6 d … εt > d. Ïd. ÏLXe5y¯K¦`): ArgMin{ax (t)Xt + ay (t)Yt }   ax (t). ay )}.Œ±?˜Ú ax (t)Xt − ay (t)Yt = mt (ax (t).  . ay (t)) Ú εt (ax (t). 3¢SA^¥. e εt−1 6 c …εt > c. Ïd. ay (t))εt (ax (t). {st (ax (t). òüXêUC ax (t) † ay (t). =3 t ž±k˜Ã B ƒu3 t ž ±k ax (t) ÃõÞހ X. d = 1. K3tžï\|Ü B mó.

(6) éuÅÄ {st } O. üöƒmŒU3'X. @|{. : ¥I½| ETF @|ïÄ 147 Äk. Ò¬k˜| {mt }. 50ETF † 180ETF d‚Sþ I(1) S. 4. 3KϪ³{S Ä:þ.1 ². 4 ¢y©Û ©¢y¥¤¦^ê⏥I7K½| ETF êâ. (7) l−1 l i=t−l+1 j=t−l+1 ?˜Ú.1 180ETF † 50ETF é@|©Û 3(¥. Kí ‘ ǫt A˜‡± 0 ¥%Ø 3žmª³²­S. . ÃY¤Ç 0. '(JL².5. 4. (5) t l k sd t εt = ax Xt − ay Yt − m̂t . ©O 300ETF. ùI‡s¤Œþ$Žžm.03%.61{[Üɐ . ©JÑ@|{`u². Äkæ^².{?1@|ïÄ. ±½ t òž l. GARCH . ¿…'ü«@|{(J`. 3OŽ¥. ±BÐ {εt } SO. l + 1. ÏL²­5u. (9) e 50ETF † 180ETF d‚S3'X. ëêI‡¢ž­#O.  εt O ax Xt − ay Yt − m̂t ε̂t = . æ^ïñ´þžØÃY¤ ª. . ' GARCH . (JXL 1 ¤«. éXêu )Czž. OŽòžžmãS IO Š {st } O. = v u t  t 2 u 1 X 1 X ŝt = t sdε i i − d s ε j j . í S. {st }. ¦^ OLS {éþ㐧?1O. ?1²­5u . 15Ï ¢. @|Ŭp=². AT¦^(4)–(8)ª­#Oëê. ÀJn‡6Ä5 rI]ïÄé–. {εt } †ƒéA. l Œ± {mt } O d + middle m̂t = long \ t. t = l.1. X GARCH(Generalized AutoRegressive Conditional Heteroskedasticity) .Xe P (t)50ETF = a + bP (t)180ETF + ǫt . ’.{@| æ^ Engel-Granger üÚ{ÿÁüS´Ääk'X... 50ETF Ú 180ETF. ¦^Xê α ?nd SϪ³ {longt }. büö'X. du7K½|E. Šâ6Ä5. ©À^ OŽ„ݍ¯.kZÊ·5{. · · · (8) ŝt éu?¿˜|éXê ax † ay . ¦^êâFϏ 2013 c 1  1 F– 2013 c 6  6 Fm… 30 s ¯ìêâ. ?˜Úæ^Œ α ¥Ïª³ {middlet }. Ïd. |^©Jѐ{?1@ |ïÄ.

 ´zŠ 1. αshort = 1/90 zã m̂t . í ‘²­5?1@|Ŭ3. ù´@|. |^. L 2 P¹ zgCz ü‡éXêäNêŠ.001 zg±óžméêS ADF test < 0. ¿…3í S "à.001 Šâ p Š. ^uOŽ1 6 ‡´F1˜^P¹d ‚SÅÄÇ. í ‘ ǫt ‡L. l z . L 2 @| | Ü  é X ê 180ETF † 50ETF@ Tab. ±í IO  0.kU"€. ²­S.zŠžñÑ|Ü. o>u 11 g ´.UìƒcÔö¤ Oëê‰1´. 3Ôö ƒ Ž‡‰ÓÔöS`(JƒÓ´Ly´A،U. czÂÃǏ 19. ҌU¬ÑyŒÌݺ›.001 zg´ÂÃS(žØÃY¤ƒ ) ADF test < 0. |¢(J. ²ïéŒU®²‹». XJE.14 í IO žŒ±¼ŒÂÃ. Ñy ˜ã²wª³. ¯¤±. Ïd. ´TczÂÃÇ´3ÔöS`z(J. 1 Residual of cointegration model between 180ETF and 50ETF @|Ï~‰{´.zŠžï\ |Ü.í S ADF test < 0. 2 Matching coefficients of 180ETF & 50ETF arbitrage portfolio m©: 2401 2493 6152 6823 11453 12005 41265 42127 44282 44966 180ETF éXê 4 3 4 3 4 3 4 3 2 3 50ETF éXê 1 1 1 1 1 1 1 1 1 1 æ^ αlong = 1/240. í ‘O». ŠâëêÀJŽ{. ´©J Ñ@|{ƒéu@|Œ`³. 3 5% ˜&Y²eŒ±@í SØ3ü Š. í SXã 1 ¤«. ¥Ñy 9 géXêCz. 3 100 ‡´FS. ¦^ l=180 zã ŝt .01 Ú. Œ±@ 50ETF † 180ETF d‚Sƒm3'X.59%.1. ã1 180ETF † 50ETF í Fig.001 zã εˆt S ADF test Ü< 0. 1 Weak stationary test for series uS u{ u P Š . í ‘­#> 0 :ž¼|²ó. 4. 3í IO  1 –í IO 3¤kŠ¥|¢±¼Œ´J|zŠ. 148 uÀ“‰ŒÆÆ(g. ÏLH{{.2 ©#{@| òžmãSc 5 ‡´Fê⊏Ôö.‰Æ‡) 2013 c L 1 Sf²­5u Tab.

ã2 ±éXêCz:©ã:©ãƒ ±]d‚¦±ƒA¦ê ‰ d S Fig. ã 2 L«|^þ¡¤‰ÑzãêâéXêd SžSã. ÎÜ. l . Ø1 1!3!7!10 ãS.15Ï ¢. Ù¦ SÑÑy ²wª³. ïþüÑ­½5Ikéõ. . y S²­5. ©æ^yzg´Âϲ­S{±`²üÑ­½5. ã 4. . òS¤k u)´´žmk ^S?1üS. 3 Time series for estimation of εt separated by changing point of matching coefficient L 1 ¥‰Ñ zãS²­5u(J. éu˜‡´üÑ.  {εt } OSX ã 3 ¤«.(2)b. 2 Series of the difference of ETF price multiplied by relative matching coefficient separated by changing point of branch multiplier ã3 ±éXêCz:©ãƒ zã εt OS Fig. X Sharp [9] 'Ç . Œ±^dS?1@|´. ¿…±zg@|´žØÃY¤ƒ Âʏp ‹I. ¤k 10 ã ε̂t Sþ² ­. : ¥I½| ETF @|ïÄ 149 ã {εt } L§O. 3 5% ˜&Y²e. L 1 Ñ édS?1²­5u(J. J|­½5´–'­‡.

òzg´¼J|?1\O. 7 Distribution of continuously holding of portfolio of 180ETF & 50ETF position of portfolio 180ETF & 50ETF 4. 4 Profit of per unit arbitrage portfolio of portfolio of 180ETF & 50ETF 180ETF & 50ETF every trading time žm´d‚'<. 150 uÀ“‰ŒÆÆ(g. ¤k´Ñ3 2 h ƒS²ó. ã 7 zg´±óžm©Ù†ã. ã6 180ETF † 50ETF @|zg´±óžm ã7 180ETF † 50ETF @|´±óžm©Ù Fig. ü«@|þkûÐLy. 3ò±óžméêƒ . ² ­•þ\OÂí‚Ó`² üÑŒ15†­½5. Ӟ.2 180ETF † 300ETF é. Ïd. ±9 300ETF † 50ETF é¤@| |Ü. ïıóžm ´pª´¥˜‘­‡óŠ. 5 Accumulated profit per unit arbitrage Fig.‰Æ‡) 2013 c `² ©#{@|­½5.68% ‡L @|{3S`¼|. ±óžmá錧Ýþû½ ´ºxŒ. 6 Minutes of continuously holding position Fig. 3ÂÃÇk˜½ycJe. czÂÃÇ 95.  zü @||ܼ\OÂÃXã 5 ¤«. ^Ӑ{?1ëêÚL§O. ã4 180ETF † 50ETF ˜ü @||Üzg ã5 180ETF † 50ETF˜ü @||Ü\ÈÂà ´¼ÂÃSã Fig. ·‚E. Ó. zg´²­…¦þá±ó žmé´ö5`›©­‡.  k 20 g´±óžm‡L 1 h. 3 100 ‡´F 317 g´¥.ÏL²­5u(„L 1)±óžm²­ ù˜(Ø. 50ETF † 300ETF é@||Ü éu 180ETF † 300ETF é¤@||Ü. L 3 Ñ ©¤9 . ã 6 Ы 180ETF&50ETF @||Üzg´±óžmS .

[6] Üëu. 2003(11). ÄupªêâÏÀÏyÚO@|§S´[J]. Modelling non-linear cointegration in international equity index fu- tures[C]//Neural Networks in Financial Engineering. [5] DO B. REFENES A N. [4] ELLIOTT R J. A Computational Methodolology for Modelling the Dynamics of Statistical Arbitrage[D]. 12(3): 724-729. 2006.68 95. Statistical Arbitrage: Algorithmic Trading Insights and Techniques[M].22 0.53 5 o ( ©JÑ ˜‡#. Working Paper. ÚO@|üÑ3·I©?Ä7½|}Á[J]. [9] ALDRIDGE I. MALCOM W P. Working Paper. 3 Performance of arbitrage portfolio 300ETF&50ETF 300ETF&180ETF 50ETF&180ETF ‘Ç/% 75. New Jersey: wiley & son.90 czÂÃÇ/% 18. [3] BURGESS A N. 2007.42 0. 1996: 50-63.54 22. A new approach to modeling and estimation for pairs trading[R]. [7] ¶.Ä: Jј«#pª´{. Œ±38 Ù¦Æöƒ 'ïÄJønØÚ¢Së. Singapore: World Scientific. ‰ÆEâ†ó§.34 98. 2011.26 gÊ'Ç 5.75 S´gê/% 241 278 319 SŒ£’/% 1.S. @|Ŭ3 Ó?˜Ú<y ˆIÆö˜†3?ؽ|3”:¯K. [2] BURGESS A N. 2009. L 3 @||ÜLy(J Tab. Treasury Securities: Risks and Rewards for Hedge Funds[R]. High Frequency Pairs Trading with U. London: London Business School. Ӟ. Lon- don: London Business School. 2005. High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems[M]. 5(3): 271-276. VAN DER HOEK J. þ -<÷¿@|(J. 28(9): 93-95. Quantitative Finance. ¿±d. 15Ï ¢. ƒéu. FAFF R. [ë  © z] [1] NATH P.35 81. New Jersey: wiley & son. 180ETF Ú 50ETF üüé|¤n‡Ý]|Üþ. Pairs Trading [J]. 2012.52 95.. A^¥I½|´¹n| ETF—300ETF. . [8] POLE A.49 23.\Ê·éd L§. 1999(10). HAMZA K. victoria: Monash University. : ¥I½| ETF @|ïÄ 151  3 «é|Ü@|Ly. OŽÅA^†^‡.