融资融券和股指期货的推出为我国证券市场的统计套利策略的实施提供了良好的平台。统计套利策略是将统计方法运用于证券市场的重要工具,基于高频数据的统计套利策略可以满足机构投资者套利需求,同时引进一种全新更加有效的投资方式。论文将常用统计套利策略进行改进,设计出新的统计套利策略并进行实证检验。运用各频率数据进行套利的交易次数都显著减少,平均单次收益率则成倍增加,达到了获取最大单次收益及降低交易频率的目的。在新统计套利策略下,运用6个频率数据进行套利均能取得很好的绩效,并且样本内的盈利性对于样本外的盈利性预测性明显增强。说明在高频数据下,统计套利策略运用于我国股票市场上是有效性的,并且新统计套利策略显著优于常用策略。

The introduction of margin trading and stock index futures provides a good platform for the implementation of statistical arbitrage strategy of Chinese security market. Statistical arbitrage strategy is an important tool for applying the statistical methods to the stock market, high frequency data based statistical arbitrage strategies are able to meet institutional investors arbitrage demand, in the meantime a new and more effective investment is introduced. The statistical arbitrage strategies commonly used are improved and the new statistical arbitrage strategy is designed and tested empirically. The number of arbitrage transactions using the data of each frequency is significantly reduced, the average yield for each transaction is doubled; the purpose for accessing the largest single revenue and reducing transaction frequency is achieved. With new statistical arbitrage strategy, the use of the six frequency data arbitrage is able to achieve very good performance, and the profit forecast of outside samples based on the profitability within the sample is significantly enhanced. With the high frequency data, statistical arbitrage strategy applied to Chinese stock market is effect, and new statistical arbitrage strategy is significantly superior to the common strategy.