时 间：2022年10月19日14:30
地 点：腾讯会议ID:811-916-088
报告人：颜廷进 助理教授
主持人：石芸 副教授
摘 要：
Cointegration analysis is an econometric tool used to identify equilibrium among assets and construct a pairs trading portfolio. The discrete-time vector error correction model (VECM) for identifying cointe-gration includes lag difference terms as explanatory variables, thus permitting delayed adjustment of the deviations from equilibrium. The continuous-time limit of the VECM becomes a stochastic delay differential equation. We investigate the dynamic open-loop equilibrium mean–variance pairs trading strategy under such a delayed cointegration model. The existence and uniqueness results for the equilibrium are offered. We prove in general that the equilibrium strategy can lead to statistical arbitrage under certain conditions that are related to the roots of the corresponding characteristic equation. We obtain an explicit solution for a case with distributed delay. Our empirical study demonstrates the superiority of our strategy over its Markovian counterpart when the model selection result prefers a high-order VECM. We further investigate the liquidation problem with price impact under delayed cointegration. We show numerically that the delayed cointegraton feature affects the time synchronization of trading in different assets.
报告人简介：
颜廷进，华东师范大学统计与交叉科学研究院助理教授，博士毕业于香港中文大学统计系，曾获2017-2021年香港博士生奖学金、2021年Itarle博士论文奖学金、2021年香港中文大学理学院博士论文奖学金，2021年8月至12月于香港中文大学统计系担任助理研究员(Research Associate)，研究方向包括金融数学、随机控制、保险精算。代表成果发表于国际期刊如《Automatica》，《Insurance: Mathematics and Economics》，《Quantitative Finance》等。