Cointegration Based Statistical Arbitrage

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1、SwissFederalInstituteofTechnologyZurichSeminarforStatisticsDepartmentofMathematicsMasterThesisSpring2012MarkusHarlacherCointegrationBasedStatisticalArbitrageSubmissionDa

2、te:July13th2012Co-AdviserDr.MarkusKalischAdviser:Prof.Dr.SaravandeGeeriiiToNataliivPrefacePrefaceStudyingattheSwissFederalInstituteofTechnology(ETH)inZurichisprobablynotalwayseasy,butitisalwaysapleasure.That'smyimpressionwhenIlookbackonthetimeIspentattheETH.Ihadtheopportunitytoenjoydemandingl

3、ecturestaughtbydidacticallyandtechnicallybrilliantpeople.ToallthoselecturersandresearchersIwouldliketoexpressmysincereadmirationanddeepestgratitude.SpecialthanksareduetoMarkusKalischandSaravandeGeerfortheirwillingnesstosupportmymaster'sthesis.ThankyouMarkusforyourenrichingcommentsandtheexcell

4、entcooperationingeneral!NotforgettingthehardlyeverbeatableworkingenvironmentprovidedbytheSfS.AperfectLATEX-templateaswellasanykindofguidance,manualswithusefultipsandtricksforanythingonecouldbeinneedof,everythingwasjustthere.InthisrespectIalsowanttomentionthegenerousaccessIwasgrantedtotheHPCCl

5、usterBrutus.Runningadistributedmemoryprogramonsometimesupto100coresinparallelwasindeedaveryexcitinganduniqueexperience.Finally,IwouldalsoliketothankWernerStahelandAloisGislerwhoconsiderablyenrichedmymindandbroadenedmyintellectualhorizonwiththeirhighlyappreciatedcourses.vviAbstractAbstractThis

6、thesisanalysesacointegrationbasedstatisticalarbitragemodel.Startingwithabriefoverviewofthetopic,asimulationstudyiscarriedoutthatisintendedtoshedlightonthemodeofactionofsuchamodelandtohighlightsomepotential awsofthemethod.Thestudycontinueswithaback-testingontheUSequitymarketforthetimeperiodrea

7、chingfrom1996upto2011.Theresultsofallthedierentmodelversionsthatweretestedlookquitepromising.Traditional"mean-variancebasedperformancemeasurementsattesttheemployedcointegrationbasedstatisticalarbitragemodelverygoodresults.Theadvanceddepende