[1] Alexander C, Dimitriu A. The cointegration alpha: Enhanced index tracking and long-short equity market neutral strategies . Discussion Paper,ISMA Centre, 2002.[2] Alexander C, Giblin I, Wayne W. Cointegration and asset allocation: A new active hedge fund strategy [J]. Research in International Business and Finance, 2002,16: 65-90.[3] Bogomolov T. Pairs trading in the land down under//proceedings of the Finance and Corporate Governance Conference, Bundoora, Australia, 2011.[4] Do Binh R F, Kais Hamza. A new approach to modeling and estimation for pairs trading.Working Paper, Monash University, 2006.[5] Elliott R J, Van Der Hoek J, Malcolm W P. Pairs trading [J]. Quantitative Finance, 2005, 5(3): 271-276.[6] Ehrman D S. The handbook of pairs trading: Strategies using equities, options, and futures [M].New York: John Wiley & Sons, 2006.[7] Engle R F, Yoo B S. Forecasting and testing in co-integrated systems [J]. Journal of econometrics, 1987, 35(1): 143-159.[8] Gatev E, Goetzmann W N, Rouwenhorst K G. Pairs trading: Performance of a relative-value arbitrage rule [J]. Review of Financial Studies, 2006, 19(3): 797-827.[9] Gillespie T, Ulph C. Pair trades methodology: A question of mean reversion//Proceedings of International Conference on Statistics, Combinatorics and Related Areas and the 8th International Conference of Forum for Interdisciplinary Mathematics, NSW, 2001.[10] Hong G, Raul S. Pairs-trading in the Asian ADR market .Working Paper, University of Houston, 2004.[11] Lin Yanxia, McCRAE M, Gulati C. Loss protection in pairs trading through minimum profit bounds: A cointegration approach [J]. Journal of Applied Mathematics and Decision Sciences, 2006:1-14.[12] Miao G J. High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach [J]. International Journal of Economics and Finance, 2014, 6(3): 96-110.[13] Nath P. High frequency pairs trading with us treasury securities: Risks and rewards for hedge funds [J]. Available at SSRN eLibrary, 2003.[14] Nakagawa T, Iwahori Y, Bhuyan M. Defect classification of electronic board using multiple classifiers and grid search of SVM parameters [M]//Lee R. Computer and Information Science. Springer.International Publishing, 2013: 115-127.[15] Puspaningrum H. Pairs trading using cointegration approach . Wollongong; University of Wollongong, 2012.[16] Vidyamurthy G. Pairs trading: Quantitative methods and analysis [M]. New York:John Wiley & Sons, 2004.[17] 仇中群, 程希骏. 基于协整的股指期货跨期套利策略模型 [J]. 系统工程, 2008, 26(12): 26-29.[18] 蒋翠清, 梁坤, 丁勇,等. 基于社会媒体的股票行为预测[J]. 中国管理科学, 2015,23(1): 17-24.[19] 金恺. 基于协整方法的沪深 300 成分股配对交易研究 .杭州:浙江大学, 2013.[20] 麦永冠, 王苏生. WM-FTBD 配对交易建仓改进策略及沪深港实证检验 [J]. 管理评论, 2014, 26(1): 30-40.[21] 邵超, 范宏. 时间参数的设定对配对交易收益率的影响 [J]. 经济管理学刊: 中英文版, 2013, 2(5): 183-188.[22] 王春. 投资者情绪对股票市场收益和波动的影响-基于开放式股票型基金资金净流入的实证研究[J]. 中国管理科学, 2014,22(9): 49-56.[23] 徐沐霖. 基于协整的配对交易研究 .济南:山东大学, 2013.[24] 朱少醒, 张则斌, 吴冲锋. "羊群效应" 与股票收益分布的厚尾特性 [J]. 上海交通大学学报, 1999, 4(7): 40-43.[25] 张来军, 杨治辉, 路飞飞. 基于复杂网络理论的股票指标关联性实证分析[J]. 中国管理科学, 2014,22(12): 85-92. |