关键词: 量化投资, 配对交易, 算法交易, 中美金融市场联动

Abstract:

Paired trading and multi-factor stock selection are typical quantitative trading strategies. The former is based on statistical arbitrage, which takes advantage of the short-term price deviation of two assets and then hedges the risk to obtain the Alpha return of the two assets. The core assumption is that the spread of paired assets has the property of mean reversion. The latter selects stocks with high comprehensive scores on factors with logical meanings. Due to the high degree of economic connection between China and the United States, there exists price co-movement in the stock markets of the two countries. We construct US equities-A share paired factor according to the ideas of the paired trading. Then the factor is used to select stocks. The empirical analysis reveals that the constructed factor has a relatively good performance in differentiating A share. And it has a low correlation with traditional stock selection factors. Therefore, the factor can be used in the multi-factor model to select stocks. The contribution of this paper lies in the fact that we propose a stock selection factor not examined in the previous research, and verify the validity of this factor in the empirical research.

Key words: quantitative investment, paired trading, algorithmic trading, corrdlation of the Sino-US financial market linka