산업경영시스템학회지 (Journal of Korean Society of Industrial and Systems Engineering)

  • 제45권3호
  • /
  • Pages.123-130
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  • 2022
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  • 2005-0461(pISSN)
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  • 2287-7975(eISSN)
한국산업경영시스템학회 (Society of Korea Industrial and System Engineering)
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한국 주식시장에서의 군집화 기반 페어트레이딩 포트폴리오 투자 연구

Clustering-driven Pair Trading Portfolio Investment in Korean Stock Market

  • Cho, Poongjin (Department of Industrial Engineering, Hanyang University) ;
  • Lee, Minhyuk (Department of Business Administration, Pusan National University) ;
  • Song, Jae Wook (Department of Industrial Engineering, Hanyang University)
  • 투고 : 2022.08.22
  • 심사 : 2022.09.16
  • 발행 : 2022.09.30
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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.

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과제정보

This work has been supported by the National Research Foundation of Korea (NRF) grant funded by the Korea government (MSIT) (No. 2021R1F1A1062917).

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