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统计对冲有别于无风险对冲,统计对冲利用证券价格的历史统计规律进行套利,是一种风险套利,其风险在于这种历史统计规律在未来一段时间内是否继续存在。统计对冲的主要思路是先找出相关性最好的若干对投资品种(股票或者期货等),再找出每一对投资品种的长期均衡关系(协整关系),当某一对品种的价差(协整方程的残差)
Statistical hedging is different from risk-free hedging. Arbitrage over historical statistics of hedging securities is a risk arbitrage. The risk lies in whether this historical statistical law will continue to exist in the coming period of time. The main idea of statistical hedging is to find the best correlation between the number of pairs of investment products (stocks or futures, etc.), and then find out the long-term equilibrium relationship between each pair of investment products (co-integration), when a pair of varieties spread (Cointegration equation residuals)