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研究生： 戴育詳
Yu-Hsiang Tai
論文名稱： Intraday Pairs Trading on Taiwan Semiconductor Companies through Mean Reverting Processes
指導教授： 孫立憲
Li-Hsien Sun
口試委員:
學位類別： 碩士
Master
系所名稱： 理學院 - 統計研究所
Graduate Institute of Statistics
論文出版年： 2021
畢業學年度： 109
語文別： 英文
論文頁數： 48
中文關鍵詞： 配對交易 、高頻資料 、雙重均值回歸模型 、年化報酬率 、年化夏普比率
外文關鍵詞： Pairs trading, High frequency data, Doubly mean-reverting processes, Annualized return, Annualized Sharpe ratio
相關次數： 點閱：20  下載：0 
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查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 為了使用高頻資料做配對交易，這篇論文回顧了 Liu 、 Chang 、 Geman 在 2017 年提出的 " 雙
    重均值回歸過程 " 模型。基於這個模型，我們使用台灣的股市資料去做回測。我們一共挑
    選並記錄了 68 間台灣半導體公司的股票資料。同時為了更貼近實際情況，我們也在這篇論
    文裡介紹了一些重要的交易規則和策略。對於 2019/03/18 至 2019/10/24 這段期間的回測結
    果為30%的年化報酬率與4.37的年化夏普比率。

    In order to execute pairs trading on high frequency data, this thesis reviews ’doubly
    mean-reverting processes,’ which was introduced in Liu, Chang, and Geman (2017). Based on
    this model, we consider the back-testing driven by the Taiwan stock market data. There are
    68 companies in Taiwan semiconductor industry group selected and recorded from Taiwan
    Stock Exchange (TWSE). Some specific important trading rules and the corresponding
    trading strategies are introduced. In empirical studies, we show the efficiency of the modified
    strategy in terms of 30% annualized return and 4.37 annualized Sharpe ratio over the period
    from 2019/03/18 to 2019/10/24.

    Contents 摘 要 i Abstract ii List of Figures v List of Tables vi Chapter1: Introduction 1 Chapter2: Model reviewing: Doubly mean-reverting processes (Liu, Chang, and Geman (2017)) 4 2.1 Model specification . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2.2 Model calibration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.2.1 Calibration for L(t) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.2.2 Calibration for Y (t) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 2.3 Pairs chosen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 Chapter3: Trading strategy on Taiwan stock market 17 3.1 Mid-price . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 3.2 Transaction costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 3.3 Inbalance on the both side in one pair . . . . . . . . . . . . . . . . . . . . . . 19 3.4 Open and Close position timing . . . . . . . . . . . . . . . . . . . . . . . . . . 20 3.5 Margin . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 3.6 Restriction and Termination . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 3.6.1 Restriction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 3.6.2 Termination . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 3.7 Return Calculation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 3.8 Hyperparameters tuning . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26 Chapter4: Empirical Study 27 4.1 Data description . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 4.2 Back testing results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 4.3 Counterexamples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 Chapter5: Conclusion 33 References 34 Appendix 37

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