| Summary: | 碩士 === 國立高雄大學 === 統計學研究所 === 102 === This study proposes an efficient estimate for the expected returns of co-integration based statistical arbitrage trading strategies. If the returns of the trading strategy are independent and identically distributed, a recursive closed-form representation of its expectation is established. The proposed estimation is capable of significantly saving much more computational effort than traditional simulation based methods. Numerical results indicate that the proposed method obtains accurate estimates effectively if the returns of a co-integration based statistical arbitrage trading strategy are normal, normal mixture or Gaussian kernel distributed. In addition, under consideration of transaction costs, the optimal co-integration based statistical arbitrage trading strategy is obtained effectively by the proposed estimate. The empirical study employs the data of Taiwan Mid-Cap 100 Indices during the period from January 1, 2010 to March 17, 2014 to investigate the performance of the proposed optimal trading strategy with transaction costs.
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