英文标题：
《Stop-loss and Leverage in optimal Statistical Arbitrage with an
application to Energy market》
---
作者：
Roberto Baviera and Tommaso Santagostino Baldi
---
最新提交年份：
2017
---
英文摘要：
In this paper we develop a statistical arbitrage trading strategy with two key elements in hi-frequency trading: stop-loss and leverage. We consider, as in Bertram (2009), a mean-reverting process for the security price with proportional transaction costs; we show how to introduce stop-loss and leverage in an optimal trading strategy. We focus on repeated strategies using a self-financing portfolio. For every given stop-loss level we derive analytically the optimal investment strategy consisting of optimal leverage and market entry/exit levels. First we show that the optimal strategy a\' la Bertram depends on the probabilities to reach entry/exit levels, on expected First-Passage-Times and on expected First-Exit-Times from an interval. Then, when the underlying log-price follows an Ornstein-Uhlenbeck process, we deduce analytical expressions for expected First-Exit-Times and we derive the long-run return of the strategy as an elementary function of the stop-loss. Following industry practice of pairs trading we consider an example of pair in the energy futures\' market, reporting in detail the analysis for a spread on Heating-Oil and Gas-Oil futures in one year sample of half-an-hour market prices.
---
中文摘要：
本文提出了一种统计套利交易策略，该策略在高频交易中包含两个关键要素：止损和杠杆。我们认为，正如Bertram（2009）所述，证券价格的均值回复过程具有比例交易成本；我们展示了如何在最佳交易策略中引入止损和杠杆。我们关注使用自筹资金投资组合的重复策略。对于每个给定的止损水平，我们通过分析得出最优投资策略，包括最优杠杆率和市场进入/退出水平。首先，我们证明了最佳策略a’la Bertram取决于达到进入/退出水平的概率、预期的首次通过时间和预期的间隔首次退出时间。然后，当基础原木价格遵循Ornstein-Uhlenbeck过程时，我们推导出预期首次退出时间的解析表达式，并将该策略的长期回报作为止损的基本函数。按照配对交易的行业惯例，我们考虑了能源期货市场中的一个配对例子，详细报告了在一年半小时市场价格样本中对取暖油和天然气油期货价差的分析。
---
分类信息：

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
--

---
PDF下载：
-->