주가지수 선물의 가격 비율에 기반한 차익거래 투자전략을 위한 페어트레이딩 규칙 개발
Developing Pairs Trading Rules for Arbitrage Investment Strategy based on the Price Ratios of Stock Index Futures
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Pairs trading is a type of arbitrage investment strategy that buys an underpriced security and simultaneously sells an overpricedsecurity. Since the 1980s, investors have recognized pairs trading as a promising arbitrage strategy that pursues absolute returnsrather than relative profits. Thus, individual and institutional traders, as well as hedge fund traders in the financial markets,have an interest in developing a pairs trading strategy. This study proposes pairs trading rules (PTRs) created from a price ratiobetween securities (i.e., stock index futures) using rough set analysis. The price ratio involves calculating the closing price ofone security and dividing it by the closing price of another security and generating Buy or Sell signals according to whetherthe ratio is increasing or decreasing. In this empirical study, we generate PTRs through rough set analysis applied to varioustechnical indicators derived from the price ratio between KOSPI 200 and S&P 500 index futures. The proposed trading rulesfor pairs trading indicate high profits in the futures market.
Abstract
Pairs trading is a type of arbitrage investment strategy that buys an underpriced security and simultaneously sells an overpricedsecurity. Since the 1980s, investors have recognized pairs trading as a promising arbitrage strategy that pursues absolute returnsrather than relative profits. Thus, individual and institutional traders, as well as hedge fund traders in the financial markets,have an interest in developing a pairs trading strategy. This study proposes pairs trading rules (PTRs) created from a price ratiobetween securities (i.e., stock index futures) using rough set analysis. The price ratio involves calculating the closing price ofone security and dividing it by the closing price of another security and generating Buy or Sell signals according to whetherthe ratio is increasing or decreasing. In this empirical study, we generate PTRs through rough set analysis applied to varioustechnical indicators derived from the price ratio between KOSPI 200 and S&P 500 index futures. The proposed trading rulesfor pairs trading indicate high profits in the futures market.
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