| Summary: | 碩士 === 國立成功大學 === 統計學系 === 104 === The aim of this study is to predict cointegration pairs trading profits. Cointegration pairs trading is a statistical arbitrage strategy. And the profits are due to the mean reverting property of cointegration error. In this study, we adopt Monte Carlo method to predict the profits. We generate the prices which are cointegrated and perform the pairs trading to obtain the simulated profit. By repeating the above procedure, the average simulated profits are regarded as the predicted profits.The vector error correction model and residuals-based cointegration approach are used to identify cointegration relationship and generate the cointegrated data.In empirical study, NASDAQ 100 index components are chosen as database. We perform cointegration pairs trading by above two approaches and then compare the real and simulated profits. The result shows that the residuals-based cointegration approach cannot reveal the real situation. Alternative, the vector error correction model can divide real profits into two groups: the positive and negative profits group.In order to describe the linear relationship between simulated profits and real profits, each group is fitted by a linear regression line with corresponding simulated profits respectively and $R^2$ of fitted model are about 78%.Furthermore, the average of trading duration time is used to select trading pairs. It allows us to filter the negative profits.
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