首页|沪深300股票配对交易策略优化研究——基于LSTM动态参数调整和市值筛选方法

沪深300股票配对交易策略优化研究——基于LSTM动态参数调整和市值筛选方法

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构建有活力、有韧性的资本市场,对于促进上市企业高质量发展和优化金融市场投融资功能具有重要意义.在传统配对交易策略中,相对固定的交易参数和缺乏灵活性的预筛选规则限制了策略对市场变化的动态响应.为了克服这些限制,本文提出了一种结合市值筛选规则与多股票配对交易框架的优化策略,确保选取的股票能够有效识别低估值优质标的.该策略采用长短期记忆网络(LSTM)算法动态调整交易参数,以提升预测精度.实证分析发现:与固定参数策略相比,本文所构建的优化策略不仅增强了对我国股票市场的价格发现能力,还实现了更高的投资回报.研究拓展了配对交易的理论范畴,为挖掘我国股票市场中的优质及低估值资产提供了模型与算法指导,有助于提振市场信心和改善长期投资预期.
Research on Optimization of Paired Trading Strategies for Shanghai and Shenzhen 300 Stocks——Based on LSTM dynamic parameter adjustment and market value filtering
Building a dynamic and resilient capital market is crucial for promoting the high-quality development of listed companies and optimizing the investment and financing functions of the financial market.Traditional pair trading strategies,with their relatively fixed trading parameters and a lack of flexible pre-screening rules,are limited in their dynamic response to market fluctuations.To overcome these limitations,this paper proposes an optimized strategy that integrates market value screening rules with a multi-stock pairs trading framework,ensuring that selected stocks can effectively identify undervalued,high-quality targets.The strategy employs Long Short-Term Memory(LSTM)networks to dynamically adjust trading parameters,enhancing prediction accuracy.Empirical analysis reveals that,compared to strategies with fixed parameters,the optimized strategy developed in this study not only enhances price discovery capabilities in the Chinese stock market but also achieves higher investment returns.This research expands the theoretical domain of pair trading and provides model and algorithmic guidance for uncovering high-quality and undervalued assets in the Chinese stock market,thereby helping to boost market confidence and improve long-term investment expectations.

multi-stock pairs tradingcointegration testtrading parametersmarket capitalization filteringlong short-term memory(LSTM)

刁海璨、张延群

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中国社会科学院数量经济与技术经济研究所

多支股票配对交易 协整检验 交易参数 市值筛选 LSTM

国家自然科学基金重大项目中国社科院经济大数据与政策评估实验室项目中国社科院学科建设"登峰战略"资助计划

719914752024SYZH004DF2023YS29

2024

10.19851/j.cnki.CN11-1010/F.2024.03.113

价格理论与实践
中国价格协会

价格理论与实践

CSTPCDCHSSCD北大核心
影响因子：0.54
ISSN：1003-3971
年,卷(期)：2024.(3)
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