FIN  >> Vol. 7 No. 1 (January 2017)

    A Statistical Arbitrage Strategy in Forex Market Based on High-Frequency Data

  • 全文下载: PDF(2502KB) HTML   XML   PP.38-46   DOI: 10.12677/FIN.2017.71005  
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肖敦健,夏冰倩:南京工业大学海外教育学院,江苏 南京;
邓晓卫:南京工业大学数理科学学院,江苏 南京

统计套利高频数据协整模型汇市交易Statistical Arbitrage High-Frequency Data Cointegration Model Forex Trading



In capital market, arbitrage is an essential trading method to avoid risks. Statistical arbitrage, which is a genre of arbitrage, has been widely utilized by foreign financial institutions since several decades ago. Since lacking of Short Hedge Mechanism, statistical arbitrage can hardly be realized in domestic capital markets. However, the situation is being relieved with the introduction of margin trading and stock index futures. And the trend to set up Short Hedge Mechanism is overwhelming. In this dissertation, we tested the arbitrage chances in forex market by adopting the thought of statistical arbitrage, combining with cointegration modeling and every minute’s closing rate of EUR/USD and CHR/JPY, which are highly correlated with each other, within 24 hours. After studying in the time series of price difference, we found that there were abundant opportunities for arbitrage. Hence, we are able to give out a novel quantified path for investors in the future.

肖敦健, 邓晓卫, 夏冰倩. 一种基于高频数据的汇市统计套利策略[J]. 金融, 2017, 7(1): 38-46.


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