英文标题：
《Large-scale empirical study on pairs trading for all possible pairs of
stocks listed on the first section of the Tokyo Stock Exchange》
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作者：
Mitsuaki Murota, Jun-ichi Inoue
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最新提交年份：
2015
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英文摘要：
We carry out a large-scale empirical data analysis to examine the efficiency of the so-called pairs trading. On the basis of relevant three thresholds, namely, starting, profit-taking, and stop-loss for the `first-passage process\' of the spread (gap) between two highly-correlated stocks, we construct an effective strategy to make a trade via `active\' stock-pairs automatically. The algorithm is applied to $1,784$ stocks listed on the first section of the Tokyo Stock Exchange leading up to totally $1,590,436$ pairs. We are numerically confirmed that the asset management by means of the pairs trading works effectively at least for the past three years (2010-2012) data sets in the sense that the profit rate becomes positive (totally positive arbitrage) in most cases of the possible combinations of thresholds corresponding to `absorbing boundaries\' in the literature of first-passage processes.
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中文摘要：
我们进行了大规模的实证数据分析，以检验所谓的配对交易的效率。基于两个高度相关的股票之间价差（差距）的“第一次通过过程”的相关三个阈值，即启动、获利回吐和止损，我们构建了一个有效的策略，通过“活跃”股票对自动进行交易。该算法适用于东京证券交易所（Tokyo Stock Exchange）第一部分上市的1784美元的股票，总计1590436美元。我们从数字上确认，至少在过去三年（2010-2012年）的数据集中，通过配对交易进行的资产管理有效，即在首次通过过程文献中与“吸收边界”相对应的阈值组合的大多数情况下，利润率变为正（完全正套利）。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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