加密货币市场中的配对交易策略研究

Journal: Economics DOI: 10.12238/ej.v8i6.2644

李书雨

南开大学金融学院

Abstract

本研究基于2021年1月-2022年6月加密货币市场数据,检验配对交易策略在不同类型加密货币对中的有效性,并对比最小距离法(SSD)与协整法的适用性差异。实证发现SSD方法配对策略在三类货币对中均实现显著正收益,验证了配对交易策略有跨资产的普适性；协整法在样本内表现更优,但样本外可能因协整关系失效导致策略亏损；相比协整法,SSD方法在加密货币市场中有更强的环境鲁棒性。

Keywords

配对交易；加密货币；协整；最小距离

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