Cointegration pairs trading strategy on derivatives.

在現今的社會，協整技術已被廣泛應用於金融和計量經濟領域，特別用於構建股票市場的統計套利策略。在這一篇論文中，我們主要考察在衍生品市場中，基於協整技術的套利交易策略，這一策略的主要研究對象是隱含波動率。利用隱性波動率的線性組合的均值回歸的特性，通過配對兩隻帶有正利差(如theta) 的短期平價歐式跨式期權來獲利。同時，構建實際波動率的模型和預測未來實際波動率的模型將會用於補充這一交易策略的不足，隱性一實際條件和Gamma-Vega條件被引入來提高交易策略的效率。這一策略的績效分析是基於三年的歷史外匯期權數據。從實證數據中，基於協整技術的策略能賺取利潤，而且Vega在利潤中起著重要的作用，並且無論是隱性一實際條件還是Gamma-Vega條件都是有效的。The notion of cointegration has been widely used in finance and econometrics, in particular in constructing statistical arbitrage strategies in the stock market. In this thesis, an arbitrage trading strategy for derivatives based on cointegration is studied to account for the volatility factor. Pairs of short dated at-the-money straddles of European options with positive net carry (i.e. theta) are used to capture the mean-reverting property of the linear combinations of implied volatilities. Furthermore, modeling and forecasting realized volatility are also considered as a supplement to the trading strategy. Implied-Realized Criertion and Gamma-Vega Criterion are introduced to improve the trading strategy. A performance analysis is conducted with a 3-year historical data of Foreign Exchange Options. From the empirical results, the portfolio based on the cointegration strategy makes a profit, where Vega plays a dominant role, and either the Implied-Realized Criertion or the Gamma-Vega Criterion is effective.Detailed summary in vernacular field only.Pun, Lai Fan.Thesis (M.Phil.)--Chinese University of Hong Kong, 2013.Includes bibliographical references (leaves 43-45).Abstracts also in Chinese.List of Tables --- p.vList of Figures --- p.viChapter 1 --- Introduction --- p.1Chapter 2 --- Basic Ideas --- p.4Chapter 2.1 --- Cointegration and Johansen’s Methodology --- p.4Chapter 2.1.1 --- Cointegration --- p.4Chapter 2.1.2 --- Johansen’s Methodology --- p.5Chapter 2.2 --- Cointegration Pairs Trading Strategy --- p.6Chapter 2.3 --- Modelling and Forecasting Realized Volatility --- p.8Chapter 3 --- Cointegration Pairs Trading Strategy On Derivatives --- p.10Chapter 3.1 --- Trading On Implied Volatility --- p.10Chapter 3.2 --- Cointegration Trading Strategy --- p.12Chapter 3.3 --- Greek Letters --- p.13Chapter 3.3.1 --- Requirements of the Trade --- p.13Chapter 3.3.2 --- Approximation of the Expected P/L --- p.15Chapter 3.4 --- Foreign Exchange Options --- p.18Chapter 3.4.1 --- Cointegration Pairs --- p.19Chapter 3.4.2 --- Trading Process --- p.21Chapter 3.4.3 --- More Examples --- p.22Chapter 4 --- Further Trading Strategies --- p.26Chapter 4.1 --- Estimation of Realized Volatility --- p.26Chapter 4.2 --- Implied-Realized Criterion --- p.27Chapter 4.3 --- Gamma-Vega Criterion --- p.29Chapter 4.4 --- Summary --- p.32Chapter 5 --- Conclusion and Further Discussion --- p.37A --- p.39B --- p.41Bibliography --- p.4