한국 주식시장에서의 군집화 기반 페어트레이딩 포트폴리오 투자 연구

• 영문명: Clustering-driven Pair Trading Portfolio Investment in Korean Stock Market
• 발행기관: 한국산업경영시스템학회
• 저자명: 조풍진(Poongjin Cho) 이민혁(Minhyuk Lee) 송재욱(Jae Wook Song)
• 간행물 정보: 『산업경영시스템학회지』제45권 제3호, 123~130쪽, 전체 8쪽
• 주제분류: 공학 > 산업공학
• 파일형태: PDF
• 발행일자: 2022.09.30

영문 초록

Pair trading is a statistical arbitrage investment strategy. Traditionally, cointegration has been utilized in the pair exploring step to discover a pair with a similar price movement. Recently, the clustering analysis has attracted many researchers' attention, replacing the cointegration method. This study tests a clustering-driven pair trading investment strategy in the Korean stock market. If a pair detected through clustering has a large spread during the spread exploring period, the pair is included in the portfolio for backtesting. The profitability of the clustering-driven pair trading strategies is investigated based on various profitability measures such as the distribution of returns, cumulative returns, profitability by period, and sensitivity analysis on different parameters. The backtesting results show that the pair trading investment strategy is valid in the Korean stock market. More interestingly, the clustering-driven portfolio investments show higher performance compared to benchmarks. Note that the hierarchical clustering shows the best portfolio performance.

목차

1. 서 론

2. 이론적 배경

3. 군집화 기반 페어트레이딩 전략

4. 백테스팅 결과 및 분석

5. 결 론

키워드

Pair trading Clustering Statistical Arbitrage Investment Strategy