KMS Of Academy of mathematics and systems sciences, CAS
Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy | |
Zhan, Baoqiang1; Zhang, Shu2; Du, Helen S.2; Yang, Xiaoguang3 | |
2021-11-19 | |
发表期刊 | COMPUTATIONAL ECONOMICS |
ISSN | 0927-7099 |
页码 | 22 |
摘要 | Arbitrage opportunity exploration is important to ensure the profitability of statistical arbitrage. Prior studies that concentrate on cointegration model and other predictive models suffer from various problems in both prediction and transaction. To prevent these problems, we propose a novel strategy based on machine learning to explore arbitrage opportunities and further predict whether they will make a profit or not. The experiment is conducted in the context of Chinese financial markets with high-frequency data of CSI 300 exchange traded fund (ETF) and CSI 300 index futures (IF) from 2012 to 2020. We find that machine learning strategy can explore more arbitrage opportunities with lower risks, which outperforms cointegration strategy in different aspects. Besides, we compare different algorithms and find that LSTM achieve better performance in predicting the positive arbitrage samples and obtaining higher ROI and Sharpe ratio. The profitability of machine learning strategy validate the mean reversion and price discovery function of asset price between spot market and futures market, which further substantiate the market efficiency. Our empirical results provide practical significance to the development of quantitative finance. |
关键词 | Statistical arbitrage Cointegration Machine learning Opportunities exploration |
DOI | 10.1007/s10614-021-10169-8 |
收录类别 | SCI |
语种 | 英语 |
资助项目 | National Natural Science Foundation of China[71532013] ; National Natural Science Foundation of China[71431008] ; National Natural Science Foundation of China[71572050] |
WOS研究方向 | Business & Economics ; Mathematics |
WOS类目 | Economics ; Management ; Mathematics, Interdisciplinary Applications |
WOS记录号 | WOS:000720620200001 |
出版者 | SPRINGER |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/59593 |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Zhan, Baoqiang |
作者单位 | 1.Harbin Inst Technol, Sch Management, Harbin, Peoples R China 2.Guangdong Univ Technol, Sch Management, Guangzhou, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
推荐引用方式 GB/T 7714 | Zhan, Baoqiang,Zhang, Shu,Du, Helen S.,et al. Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy[J]. COMPUTATIONAL ECONOMICS,2021:22. |
APA | Zhan, Baoqiang,Zhang, Shu,Du, Helen S.,&Yang, Xiaoguang.(2021).Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy.COMPUTATIONAL ECONOMICS,22. |
MLA | Zhan, Baoqiang,et al."Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy".COMPUTATIONAL ECONOMICS (2021):22. |
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