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題名 運用共整合關係以及 copula 函數的加密貨幣配對交易
Cryptocurrency Trading Strategies with Cointegration and Copula
作者 陳品均
Chen, Pin-Chun
貢獻者 張興華
Chang, Hsing-Hua
陳品均
Chen, Pin-Chun
關鍵詞 加密貨幣
關聯結構函數
配對交易
共整合關係
Cryptocurrency
Pairs trading
Copula
Cointegration
日期 2023
上傳時間 6-Jul-2023 16:48:31 (UTC+8)
摘要 本研究探討加密貨幣的配對交易，研究加密貨幣市值前三大的幣種，比特 幣、以太幣以及幣安幣，並且分別依據 Sklar (1959)提出的關聯結構函數以 及 Engle - Granger (1987)提出的二階段共整合檢定來構建配對交易，並且比 較兩種模型捕捉出來訊號的準確程度，由於資產報酬率分配的不對稱性，透過 雙變量關聯結構函數構建的交易策略考慮了左尾或右尾依賴關係較顯著的關聯 結構函數，確保交易訊號能夠更準確的被捕捉，並且不用對資產進行常態假
     設 ; 而二階段共整合檢定先確定兩幣種長期下存在共整合關係，並且在價差擴 大時進行交易。實證結果表明，三幣種在長期下皆存在共整合關係，而二階段 共整合檢定構建的交易策略進場機會較多，但平均報酬率較低，且 Sharpe ratio 也較低。
     而透過雙變量關聯結構函數構建的交易策略交易機會較少，但整體報酬率較 高，並且 Sharpe ratio 也較高，顯示雙變量關聯結構函數構建的交易策略能更 準確的辨別交易機會，所捕捉的交易訊號更精確，有更好的獲利能力。
The purpose of this paper is to investigate pair trading in cryptocurrencies, focusing on the top three cryptocurrencies by market capitalization: Bitcoin, Ethereum, and Binance Coin. The study constructs pair trading strategies using two different models: the bivariate copula proposed by Sklar (1959) and the two-step cointegration analysis proposed by Engle and Granger (1987). To evaluate the accuracy of trading signals the model captured, we compare the profitability of two approaches.
     In pair trading strategies, the core conception is the correlation between two assets. The traditional approaches: distance approach, cointegration approach, and the stochastic spread approach are based on the linear hypothesis, which is the Achilles’ heel of traditional pair trading strategies. To overcome this restriction, this paper employs the copula, which can totally describe the dependence between variables and model joint distributions. Due to the asymmetries of financial returns, the trading strategy that considers the copula can seize the signal more effective.
     The empirical results suggest that copula approach is more profitable, although the number of trading opportunities is lower, the mean return and total return is higher, and the standard deviation is lower. The copula approach is completely shown to have more probability as a pair trading model to construct a strategy.
參考文獻 1. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
     2. Vidyamurthy, G. (2004). Pairs Trading: quantitative methods and analysis (Vol. 217). John Wiley & Sons.
     3. Phillips, P. C., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica: journal of the Econometric Society, 165-193.
     4. Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of econometrics, 70(1), 99-126.
     5. Bação, P., Duarte, A. P., Sebastião, H., & Redzepagic, S. (2018). Information transmission between cryptocurrencies: does bitcoin rule the cryptocurrency world? Scientific Annals of Economics and Business, 65(2), 97-117.
     6. Sovbetov, Y. (2018). Factors influencing cryptocurrency prices: Evidence from bitcoin, ethereum, dash, litcoin, and monero. Journal of Economics and Financial Analysis, 2(2), 1-27.
     7. Ciaian, P., & Rajcaniova, M. (2018). Virtual relationships: Short-and long-run evidence from BitCoin and altcoin markets. Journal of International Financial Markets, Institutions and Money, 52, 173-195.
     8. Leung, T., & Nguyen, H. (2019). Constructing cointegrated cryptocurrency portfolios for statistical arbitrage. Studies in Economics and Finance.
     9. Gatev, E.., Goetzmann, W. N., & Rouwenhorst, K. G. (2006). Pairs trading: Performance of a relative-value arbitrage rule. The Review of Financial Studies, 19(3), 797-827.
     10. Bolgün, K. E., Kurun, E., & Güven, S. (2010). Dynamic Pairs Trading Strategy for the Companies Listed in the Istanbul Stock Exchange. International Review of Applied Financial Issues & Economics, 2(1).
     11.Xie, W., Liew, R. Q., Wu, Y., & Zou, X. (2016). Pairs trading with copulas. The Journal of Trading, 11(3), 41-52.
     12. Ferreira, P. H., Fiaccone, R. L., Lordelo, J. S., Sena, S. O., & Duran, V. R. (2019). Bivariate Copula-based Linear Mixed-effects Models: An Application to Longitudinal Child Growth Data. TEMA (São Carlos), 20, 37-59.
     13. Stander, Y., Marais, D., & Botha, I. (2013). Trading strategies with copulas. Journal of Economic and Financial Sciences, 6(1), 83-107.
     14. Hanson, T. A., & Hall, J. (2012). Statistical arbitrage trading strategies and high frequency trading. Available at SSRN 2147012.
     15. Mahfoud, M., & Michael, M. (2012). Bivariate Archimedean copulas: an application to two stock market indices. BMI Paper, 1517333.
     16. Rad, H., Low, R. K. Y., & Faff, R. (2016). The profitability of pairs trading strategies: distance, cointegration and copula methods. Quantitative Finance, 16(10), 1541-1558.
     17. Landgraf, N. I. K. O. L. A. U. S., SCHOLTUS, K., & DIRIS, D. B. (2016). High-Frequency copula-based pairs trading on US Goldmine Stocks. Erasmus University Thesis Repository.
     18. Xie, W., & Wu, Y. (2015). Copula-based pairs trading strategy. SSRN.
     19. Liew, R. Q., & Wu, Y. (2013). Pairs trading: A copula approach. Journal of Derivatives & Hedge Funds, 19, 12-30.
     20. Catalini, C., & Gans, J. S. (2020). Some simple economics of the blockchain. Communications of the ACM, 63(7), 80-90.
     21. Leung, T., & Nguyen, H. (2019). Constructing cointegrated cryptocurrency portfolios for statistical arbitrage. Studies in Economics and Finance.
     22. Jeleskovic, V., Meloni, M., & Younas, Z. I. (2020). Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations (No. 34-2020). MAGKS Joint Discussion Paper Series in Economics.
描述 碩士
國立政治大學
金融學系
110352030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110352030
資料類型 thesis
dc.contributor.advisor 張興華zh_TW
dc.contributor.advisor Chang, Hsing-Huaen_US
dc.contributor.author (Authors) 陳品均zh_TW
dc.contributor.author (Authors) Chen, Pin-Chunen_US
dc.creator (作者) 陳品均zh_TW
dc.creator (作者) Chen, Pin-Chunen_US
dc.date (日期) 2023en_US
dc.date.accessioned 6-Jul-2023 16:48:31 (UTC+8)-
dc.date.available 6-Jul-2023 16:48:31 (UTC+8)-
dc.date.issued (上傳時間) 6-Jul-2023 16:48:31 (UTC+8)-
dc.identifier (Other Identifiers) G0110352030en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/145867-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 110352030zh_TW
dc.description.abstract (摘要) 本研究探討加密貨幣的配對交易，研究加密貨幣市值前三大的幣種，比特 幣、以太幣以及幣安幣，並且分別依據 Sklar (1959)提出的關聯結構函數以 及 Engle - Granger (1987)提出的二階段共整合檢定來構建配對交易，並且比 較兩種模型捕捉出來訊號的準確程度，由於資產報酬率分配的不對稱性，透過 雙變量關聯結構函數構建的交易策略考慮了左尾或右尾依賴關係較顯著的關聯 結構函數，確保交易訊號能夠更準確的被捕捉，並且不用對資產進行常態假
     設 ; 而二階段共整合檢定先確定兩幣種長期下存在共整合關係，並且在價差擴 大時進行交易。實證結果表明，三幣種在長期下皆存在共整合關係，而二階段 共整合檢定構建的交易策略進場機會較多，但平均報酬率較低，且 Sharpe ratio 也較低。
     而透過雙變量關聯結構函數構建的交易策略交易機會較少，但整體報酬率較 高，並且 Sharpe ratio 也較高，顯示雙變量關聯結構函數構建的交易策略能更 準確的辨別交易機會，所捕捉的交易訊號更精確，有更好的獲利能力。		zh_TW
dc.description.abstract (摘要) The purpose of this paper is to investigate pair trading in cryptocurrencies, focusing on the top three cryptocurrencies by market capitalization: Bitcoin, Ethereum, and Binance Coin. The study constructs pair trading strategies using two different models: the bivariate copula proposed by Sklar (1959) and the two-step cointegration analysis proposed by Engle and Granger (1987). To evaluate the accuracy of trading signals the model captured, we compare the profitability of two approaches.
     In pair trading strategies, the core conception is the correlation between two assets. The traditional approaches: distance approach, cointegration approach, and the stochastic spread approach are based on the linear hypothesis, which is the Achilles’ heel of traditional pair trading strategies. To overcome this restriction, this paper employs the copula, which can totally describe the dependence between variables and model joint distributions. Due to the asymmetries of financial returns, the trading strategy that considers the copula can seize the signal more effective.
     The empirical results suggest that copula approach is more profitable, although the number of trading opportunities is lower, the mean return and total return is higher, and the standard deviation is lower. The copula approach is completely shown to have more probability as a pair trading model to construct a strategy.		en_US
dc.description.tableofcontents 摘要 1
     ABSTRACT 2
     第一章 緒論 8
     第一節 研究背景 8
     第二節 研究動機 13
     第三節 研究目的 16
     第二章 文獻回顧 17
     第一節 共整合關係 17
     第二節 配對交易 18
     第三節 關聯結構（COPULA） 20
     第三章 研究方法 22
     第一節 研究工具 22
     第二節 研究流程 36
     第四章 實證分析 40
     第一節 共整合關係構建配對交易 40
     第二節 關聯結構函數構建配對交易 61
     第五章 結論 71
     參考文獻 74		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110352030en_US
dc.subject (關鍵詞) 加密貨幣zh_TW
dc.subject (關鍵詞) 關聯結構函數zh_TW
dc.subject (關鍵詞) 配對交易zh_TW
dc.subject (關鍵詞) 共整合關係zh_TW
dc.subject (關鍵詞) Cryptocurrencyen_US
dc.subject (關鍵詞) Pairs tradingen_US
dc.subject (關鍵詞) Copulaen_US
dc.subject (關鍵詞) Cointegrationen_US
dc.title (題名) 運用共整合關係以及 copula 函數的加密貨幣配對交易zh_TW
dc.title (題名) Cryptocurrency Trading Strategies with Cointegration and Copulaen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: journal of the Econometric Society, 251-276.
     2. Vidyamurthy, G. (2004). Pairs Trading: quantitative methods and analysis (Vol. 217). John Wiley & Sons.
     3. Phillips, P. C., & Ouliaris, S. (1990). Asymptotic properties of residual based tests for cointegration. Econometrica: journal of the Econometric Society, 165-193.
     4. Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of econometrics, 70(1), 99-126.
     5. Bação, P., Duarte, A. P., Sebastião, H., & Redzepagic, S. (2018). Information transmission between cryptocurrencies: does bitcoin rule the cryptocurrency world? Scientific Annals of Economics and Business, 65(2), 97-117.
     6. Sovbetov, Y. (2018). Factors influencing cryptocurrency prices: Evidence from bitcoin, ethereum, dash, litcoin, and monero. Journal of Economics and Financial Analysis, 2(2), 1-27.
     7. Ciaian, P., & Rajcaniova, M. (2018). Virtual relationships: Short-and long-run evidence from BitCoin and altcoin markets. Journal of International Financial Markets, Institutions and Money, 52, 173-195.
     8. Leung, T., & Nguyen, H. (2019). Constructing cointegrated cryptocurrency portfolios for statistical arbitrage. Studies in Economics and Finance.
     9. Gatev, E.., Goetzmann, W. N., & Rouwenhorst, K. G. (2006). Pairs trading: Performance of a relative-value arbitrage rule. The Review of Financial Studies, 19(3), 797-827.
     10. Bolgün, K. E., Kurun, E., & Güven, S. (2010). Dynamic Pairs Trading Strategy for the Companies Listed in the Istanbul Stock Exchange. International Review of Applied Financial Issues & Economics, 2(1).
     11.Xie, W., Liew, R. Q., Wu, Y., & Zou, X. (2016). Pairs trading with copulas. The Journal of Trading, 11(3), 41-52.
     12. Ferreira, P. H., Fiaccone, R. L., Lordelo, J. S., Sena, S. O., & Duran, V. R. (2019). Bivariate Copula-based Linear Mixed-effects Models: An Application to Longitudinal Child Growth Data. TEMA (São Carlos), 20, 37-59.
     13. Stander, Y., Marais, D., & Botha, I. (2013). Trading strategies with copulas. Journal of Economic and Financial Sciences, 6(1), 83-107.
     14. Hanson, T. A., & Hall, J. (2012). Statistical arbitrage trading strategies and high frequency trading. Available at SSRN 2147012.
     15. Mahfoud, M., & Michael, M. (2012). Bivariate Archimedean copulas: an application to two stock market indices. BMI Paper, 1517333.
     16. Rad, H., Low, R. K. Y., & Faff, R. (2016). The profitability of pairs trading strategies: distance, cointegration and copula methods. Quantitative Finance, 16(10), 1541-1558.
     17. Landgraf, N. I. K. O. L. A. U. S., SCHOLTUS, K., & DIRIS, D. B. (2016). High-Frequency copula-based pairs trading on US Goldmine Stocks. Erasmus University Thesis Repository.
     18. Xie, W., & Wu, Y. (2015). Copula-based pairs trading strategy. SSRN.
     19. Liew, R. Q., & Wu, Y. (2013). Pairs trading: A copula approach. Journal of Derivatives & Hedge Funds, 19, 12-30.
     20. Catalini, C., & Gans, J. S. (2020). Some simple economics of the blockchain. Communications of the ACM, 63(7), 80-90.
     21. Leung, T., & Nguyen, H. (2019). Constructing cointegrated cryptocurrency portfolios for statistical arbitrage. Studies in Economics and Finance.
     22. Jeleskovic, V., Meloni, M., & Younas, Z. I. (2020). Cryptocurrencies: A Copula Based Approach for Asymmetric Risk Marginal Allocations (No. 34-2020). MAGKS Joint Discussion Paper Series in Economics.		zh_TW