Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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The Performances of Different Strategies Based on Time Series Analysis for Chinese Markets

Authors
Jiayi Zhu1, *
1Department of International Trade University of Sanda, Shanghai, China
*Corresponding author. Email: 18409142@masu.edu.cn
Corresponding Author
Jiayi Zhu
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_68How to use a DOI?
Keywords
statistical arbitrage strategy; market neutral strategy; global macro strategy
Abstract

Margin trading and stock index futures were introduced in China since 2010, and investment institutions began to add shorting mechanism into their portfolios or new products. The development of margin trading provides a hedging strategy, the statistical arbitrage strategy. Before and after margin trading started, major securities brokers have intensified their research on margin trading and launched a series of research reports on statistical arbitrage. It can be seen that with the advent of "shorting era", statistical arbitrage strategy will occupy an increasingly important position. This paper focuses on market neutral strategy and global macro strategy in statistical arbitrage. Specifically, the procedure of picking stocks in Chinese market is explained and the application status of the two strategies are shown. Besides, the application effects of the strategies through actual trading data are investigated and tested. The trading results shed light on good returns and profits for both strategies.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
10.2991/978-94-6463-042-8_68
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_68How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jiayi Zhu
PY  - 2022
DA  - 2022/12/29
TI  - The Performances of Different Strategies Based on Time Series Analysis for Chinese Markets
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 470
EP  - 476
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_68
DO  - 10.2991/978-94-6463-042-8_68
ID  - Zhu2022
ER  -