{"id":7457,"date":"2023-06-21T12:44:35","date_gmt":"2023-06-21T12:44:35","guid":{"rendered":"https:\/\/bjftradinggroup.com\/?p=7457"},"modified":"2025-12-28T07:49:04","modified_gmt":"2025-12-28T07:49:04","slug":"understanding-statistical-arbitrage-a-path-to-profitable-trading","status":"publish","type":"post","link":"https:\/\/bjftradinggroup.com\/vi\/understanding-statistical-arbitrage-a-path-to-profitable-trading\/","title":{"rendered":"Hi\u1ec3u v\u1ec1 Arbitrage th\u1ed1ng k\u00ea: Con \u0111\u01b0\u1eddng d\u1eabn \u0111\u1ebfn giao d\u1ecbch sinh l\u1ee3i"},"content":{"rendered":"

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Arbitrage th\u1ed1ng k\u00ea (Statistical Arbitrage)<\/strong>, th\u01b0\u1eddng \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 \u201cStat Arb\u201d, l\u00e0 m\u1ed9t chi\u1ebfn l\u01b0\u1ee3c giao d\u1ecbch \u0111\u1ecbnh l\u01b0\u1ee3ng ph\u1ed5 bi\u1ebfn, \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng r\u1ed9ng r\u00e3i b\u1edfi c\u00e1c qu\u1ef9 ph\u00f2ng h\u1ed9 v\u00e0 c\u00f4ng ty giao d\u1ecbch t\u1ef1 doanh. \u00dd t\u01b0\u1edfng c\u1ed1t l\u00f5i c\u1ee7a chi\u1ebfn l\u01b0\u1ee3c n\u00e0y l\u00e0 khai th\u00e1c c\u00e1c \u0111i\u1ec3m k\u00e9m hi\u1ec7u qu\u1ea3 v\u1ec1 gi\u00e1 gi\u1eefa nh\u1eefng c\u00f4ng c\u1ee5 t\u00e0i ch\u00ednh c\u00f3 m\u1ed1i li\u00ean h\u1ec7 v\u1edbi nhau. C\u00e1c trader \u00e1p d\u1ee5ng stat arb d\u1ef1a v\u00e0o nh\u1eefng m\u00f4 h\u00ecnh to\u00e1n h\u1ecdc ph\u1ee9c t\u1ea1p \u0111\u1ec3 x\u00e1c \u0111\u1ecbnh c\u01a1 h\u1ed9i giao d\u1ecbch, khi\u1ebfn chi\u1ebfn l\u01b0\u1ee3c n\u00e0y tr\u1edf th\u00e0nh m\u1ed9t ph\u1ea7n quan tr\u1ecdng c\u1ee7a giao d\u1ecbch thu\u1eadt to\u00e1n.<\/p>\n

Ngu\u1ed3n g\u1ed1c c\u1ee7a Arbitrage th\u1ed1ng k\u00ea<\/strong><\/h3>\n

Arbitrage th\u1ed1ng k\u00ea b\u1eaft ngu\u1ed3n t\u1eeb nh\u1eefng n\u0103m 1980, khi \u0111\u01b0\u1ee3c c\u00e1c nh\u00e0 ph\u00e2n t\u00edch \u0111\u1ecbnh l\u01b0\u1ee3ng t\u1ea1i Ph\u1ed1 Wall \u2013 th\u01b0\u1eddng \u0111\u01b0\u1ee3c g\u1ecdi l\u00e0 \u201cquants\u201d \u2013 ti\u00ean phong ph\u00e1t tri\u1ec3n. Ban \u0111\u1ea7u, chi\u1ebfn l\u01b0\u1ee3c n\u00e0y \u0111\u01b0\u1ee3c \u00e1p d\u1ee5ng trong th\u1ecb tr\u01b0\u1eddng ch\u1ee9ng kho\u00e1n, n\u01a1i c\u00e1c c\u1eb7p c\u1ed5 phi\u1ebfu \u0111\u01b0\u1ee3c l\u1ef1a ch\u1ecdn d\u1ef1a tr\u00ean \u0111\u1ed3ng li\u00ean k\u1ebft (cointegration)<\/strong> \u2013 m\u1ed9t thu\u1ed9c t\u00ednh th\u1ed1ng k\u00ea cho th\u1ea5y kho\u1ea3ng ch\u00eanh l\u1ec7ch gi\u00e1 gi\u1eefa hai c\u1ed5 phi\u1ebfu c\u00f3 xu h\u01b0\u1edbng quay v\u1ec1 m\u1ee9c trung b\u00ecnh theo th\u1eddi gian. K\u1ec3 t\u1eeb \u0111\u00f3, stat arb \u0111\u00e3 kh\u00f4ng ng\u1eebng ph\u00e1t tri\u1ec3n v\u00e0 \u0111\u01b0\u1ee3c m\u1edf r\u1ed9ng sang c\u00e1c th\u1ecb tr\u01b0\u1eddng kh\u00e1c nh\u01b0 forex v\u00e0 ti\u1ec1n \u0111i\u1ec7n t\u1eed.<\/p>\n

Nguy\u00ean l\u00fd c\u1ed1t l\u00f5i<\/strong><\/h3>\n

Arbitrage th\u1ed1ng k\u00ea d\u1ef1a tr\u00ean nguy\u00ean l\u00fd h\u1ed3i quy v\u1ec1 trung b\u00ecnh (mean reversion) v\u00e0 lu\u1eadt s\u1ed1 l\u1edbn. Gi\u1ea3 \u0111\u1ecbnh c\u01a1 b\u1ea3n l\u00e0 gi\u00e1 t\u01b0\u01a1ng \u0111\u1ed1i c\u1ee7a c\u00e1c c\u00f4ng c\u1ee5 t\u00e0i ch\u00ednh c\u00f3 m\u1ed1i t\u01b0\u01a1ng quan l\u1ecbch s\u1eed s\u1ebd quay tr\u1edf l\u1ea1i m\u1ee9c trung b\u00ecnh theo th\u1eddi gian. Ch\u00ednh t\u1ea1i nh\u1eefng th\u1eddi \u0111i\u1ec3m gi\u00e1 l\u1ec7ch kh\u1ecfi chu\u1ea9n m\u1ef1c l\u1ecbch s\u1eed n\u00e0y, c\u01a1 h\u1ed9i arbitrage th\u1ed1ng k\u00ea xu\u1ea5t hi\u1ec7n.<\/p>\n

V\u00ed d\u1ee5, gi\u1ea3 s\u1eed c\u00f3 hai c\u1ed5 phi\u1ebfu v\u1ed1n d\u0129 th\u01b0\u1eddng bi\u1ebfn \u0111\u1ed9ng c\u00f9ng nhau. N\u1ebfu gi\u00e1 c\u1ee7a ch\u00fang t\u00e1ch ra \u2013 m\u1ed9t c\u1ed5 phi\u1ebfu t\u0103ng m\u1ea1nh trong khi c\u1ed5 phi\u1ebfu kia gi\u1ea3m \u2013 th\u00ec trader arbitrage th\u1ed1ng k\u00ea s\u1ebd b\u00e1n kh\u1ed1ng c\u1ed5 phi\u1ebfu t\u0103ng m\u1ea1nh v\u00e0 mua c\u1ed5 phi\u1ebfu gi\u1ea3m, v\u1edbi k\u1ef3 v\u1ecdng r\u1eb1ng \u201cspread\u201d gi\u1eefa hai c\u1ed5 phi\u1ebfu s\u1ebd s\u1edbm h\u1ed9i t\u1ee5 tr\u1edf l\u1ea1i.<\/p>\n

Spread l\u00e0 g\u00ec?<\/strong><\/h3>\n

Trong arbitrage th\u1ed1ng k\u00ea, thu\u1eadt ng\u1eef \u201cspread\u201d th\u01b0\u1eddng d\u00f9ng \u0111\u1ec3 ch\u1ec9 ch\u00eanh l\u1ec7ch gi\u00e1 ho\u1eb7c s\u1ef1 sai l\u1ec7ch gi\u1eefa hai c\u00f4ng c\u1ee5 t\u00e0i ch\u00ednh c\u00f3 li\u00ean quan. C\u00e1c c\u00f4ng c\u1ee5 n\u00e0y c\u00f3 th\u1ec3 l\u00e0 hai c\u1ed5 phi\u1ebfu, h\u1ee3p \u0111\u1ed3ng t\u01b0\u01a1ng lai, c\u1eb7p ti\u1ec1n t\u1ec7 forex ho\u1eb7c th\u1eadm ch\u00ed l\u00e0 c\u00e1c t\u00e0i s\u1ea3n ti\u1ec1n \u0111i\u1ec7n t\u1eed.<\/p>\n

M\u1ed9t v\u00ed d\u1ee5 \u0111i\u1ec3n h\u00ecnh l\u00e0 giao d\u1ecbch theo c\u1eb7p (pair trading), trong \u0111\u00f3 spread gi\u1eefa hai c\u1ed5 phi\u1ebfu c\u00f3 m\u1ed1i quan h\u1ec7 \u0111\u1ed3ng li\u00ean k\u1ebft trong l\u1ecbch s\u1eed \u0111\u01b0\u1ee3c theo d\u00f5i. Khi spread l\u1ec7ch \u0111\u00e1ng k\u1ec3 kh\u1ecfi m\u1ee9c trung b\u00ecnh l\u1ecbch s\u1eed, \u0111\u00f3 \u0111\u01b0\u1ee3c xem l\u00e0 t\u00edn hi\u1ec7u cho m\u1ed9t c\u01a1 h\u1ed9i giao d\u1ecbch.<\/p>\n

N\u1ebfu spread m\u1edf r\u1ed9ng qu\u00e1 m\u1ee9c, \u0111i\u1ec1u n\u00e0y cho th\u1ea5y m\u1ed9t t\u00e0i s\u1ea3n \u0111ang b\u1ecb \u0111\u1ecbnh gi\u00e1 cao v\u00e0 t\u00e0i s\u1ea3n c\u00f2n l\u1ea1i b\u1ecb \u0111\u1ecbnh gi\u00e1 th\u1ea5p. Khi \u0111\u00f3, trader s\u1ebd b\u00e1n t\u00e0i s\u1ea3n b\u1ecb \u0111\u1ecbnh gi\u00e1 cao v\u00e0 mua t\u00e0i s\u1ea3n b\u1ecb \u0111\u1ecbnh gi\u00e1 th\u1ea5p. Ng\u01b0\u1ee3c l\u1ea1i, n\u1ebfu spread thu h\u1eb9p qu\u00e1 m\u1ee9c, trader s\u1ebd th\u1ef1c hi\u1ec7n giao d\u1ecbch theo h\u01b0\u1edbng ng\u01b0\u1ee3c l\u1ea1i.<\/p>\n

Trong arbitrage th\u1ed1ng k\u00ea, spread \u0111\u01b0\u1ee3c gi\u1ea3 \u0111\u1ecbnh l\u00e0 c\u00f3 xu h\u01b0\u1edbng quay v\u1ec1 trung b\u00ecnh, ngh\u0129a l\u00e0 n\u00f3 dao \u0111\u1ed9ng xung quanh m\u1ed9t gi\u00e1 tr\u1ecb trung b\u00ecnh d\u00e0i h\u1ea1n. Khi spread l\u1ec7ch xa kh\u1ecfi m\u1ee9c trung b\u00ecnh n\u00e0y, trader k\u1ef3 v\u1ecdng n\u00f3 s\u1ebd quay tr\u1edf l\u1ea1i v\u00e0 t\u1eadn d\u1ee5ng s\u1ef1 h\u1ed3i quy \u0111\u00f3 \u0111\u1ec3 t\u1ea1o l\u1ee3i nhu\u1eadn.<\/p>\n

\"SharpTrader<\/p>\n

H\u00ecnh 1<\/strong> \u2013 Ch\u1ec9 b\u00e1o Spread c\u1ee7a SharpTrader\u2122<\/p>\n

Trong ph\u1ea7n m\u1ec1m Arbitrage SharpTrader\u2122<\/a>, ch\u1ec9 b\u00e1o Spread \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng \u0111\u1ec3 tr\u1ef1c quan h\u00f3a m\u1ed1i t\u01b0\u01a1ng quan gi\u1eefa hai t\u00e0i s\u1ea3n. Vi\u1ec7c t\u00ednh to\u00e1n ch\u1ec9 b\u00e1o n\u00e0y bao g\u1ed3m c\u00e1c th\u00e0nh ph\u1ea7n sau:<\/p>\n

    \n
  1. Spread:<\/strong> Ch\u00eanh l\u1ec7ch s\u1ed1 h\u1ecdc gi\u1eefa gi\u00e1 tr\u1ecb c\u1ee7a hai t\u00e0i s\u1ea3n.<\/li>\n
  2. SpreadMA:<\/strong> \u0110\u01b0\u1eddng trung b\u00ecnh \u0111\u1ed9ng c\u1ee7a spread trong m\u1ed9t kho\u1ea3ng th\u1eddi gian x\u00e1c \u0111\u1ecbnh (pi_SpreadMA_Period).<\/li>\n
  3. STD (\u0110\u1ed9 l\u1ec7ch chu\u1ea9n):<\/strong> \u0110\u1ed9 l\u1ec7ch chu\u1ea9n c\u1ee7a spread so v\u1edbi SpreadMA.<\/li>\n<\/ol>\n

    Vi\u1ec7c m\u1edf l\u1ec7nh giao d\u1ecbch \u0111\u01b0\u1ee3c th\u1ef1c hi\u1ec7n theo c\u00e1c nguy\u00ean t\u1eafc c\u1ee7a l\u00fd thuy\u1ebft arbitrage th\u1ed1ng k\u00ea.<\/p>\n

    M\u1ed9t ch\u00fat l\u00fd thuy\u1ebft v\u1ec1 c\u00e1ch t\u00ednh t\u01b0\u01a1ng quan<\/h3>\n

    \"C\u00f4ng<\/p>\n

    Arbitrage th\u1ed1ng k\u00ea \u2013 Ma tr\u1eadn t\u01b0\u01a1ng quan<\/strong><\/h3>\n

    Ma tr\u1eadn t\u01b0\u01a1ng quan l\u00e0 m\u1ed9t b\u1ea3ng th\u1ec3 hi\u1ec7n h\u1ec7 s\u1ed1 t\u01b0\u01a1ng quan gi\u1eefa nhi\u1ec1u bi\u1ebfn s\u1ed1. M\u1ed7i gi\u00e1 tr\u1ecb n\u1eb1m trong kho\u1ea3ng t\u1eeb -1 \u0111\u1ebfn 1.<\/p>\n

    H\u1ec7 s\u1ed1 t\u01b0\u01a1ng quan b\u1eb1ng 1 th\u1ec3 hi\u1ec7n m\u1ed1i t\u01b0\u01a1ng quan d\u01b0\u01a1ng ho\u00e0n h\u1ea3o, -1 l\u00e0 t\u01b0\u01a1ng quan \u00e2m ho\u00e0n h\u1ea3o, c\u00f2n 0 cho th\u1ea5y kh\u00f4ng t\u1ed3n t\u1ea1i m\u1ed1i quan h\u1ec7 gi\u1eefa c\u00e1c bi\u1ebfn.<\/p>\n

    \"V\u00ed<\/p>\n

    H\u00ecnh 2<\/strong> \u2013 V\u00ed d\u1ee5 v\u1ec1 b\u1ea3ng t\u01b0\u01a1ng quan<\/p>\n

    C\u00e1c b\u1ea3ng t\u01b0\u01a1ng quan \u0111\u01b0\u1ee3c s\u1eed d\u1ee5ng r\u1ed9ng r\u00e3i trong l\u0129nh v\u1ef1c t\u00e0i ch\u00ednh \u0111\u1ec3 ph\u00e2n t\u00edch m\u1ed1i quan h\u1ec7 gi\u1eefa c\u00e1c t\u00e0i s\u1ea3n, h\u1ed7 tr\u1ee3 \u0111a d\u1ea1ng h\u00f3a danh m\u1ee5c v\u00e0 qu\u1ea3n l\u00fd r\u1ee7i ro.<\/p>\n

    Tri\u1ec3n khai chi\u1ebfn l\u01b0\u1ee3c Arbitrage th\u1ed1ng k\u00ea<\/strong><\/h2>\n

    Vi\u1ec7c tri\u1ec3n khai arbitrage th\u1ed1ng k\u00ea l\u00e0 m\u1ed9t nhi\u1ec7m v\u1ee5 ph\u1ee9c t\u1ea1p, \u0111\u00f2i h\u1ecfi c\u00e1c c\u00f4ng c\u1ee5 th\u1ed1ng k\u00ea ti\u00ean ti\u1ebfn, h\u1ec7 th\u1ed1ng t\u00ednh to\u00e1n t\u1ed1c \u0111\u1ed9 cao v\u00e0 thu\u1eadt to\u00e1n hi\u1ec7n \u0111\u1ea1i. Quy tr\u00ecnh th\u01b0\u1eddng bao g\u1ed3m:<\/p>\n