{"id":7948,"date":"2024-04-30T20:26:59","date_gmt":"2024-04-30T20:26:59","guid":{"rendered":"https:\/\/bjftradinggroup.com\/?p=7948"},"modified":"2025-12-03T18:46:15","modified_gmt":"2025-12-03T18:46:15","slug":"optimizing-pair-trading-using-the-z-index-technique","status":"publish","type":"post","link":"https:\/\/bjftradinggroup.com\/vi\/optimizing-pair-trading-using-the-z-index-technique\/","title":{"rendered":"Optimizing Pairs Trading Using the Z-Index Technique"},"content":{"rendered":"<p><\/p>\n<h4><strong>Gi\u1edbi thi\u1ec7u<\/strong><\/h4>\n<p>Pairs trading (giao d\u1ecbch theo c\u1eb7p) l\u00e0 m\u1ed9t chi\u1ebfn l\u01b0\u1ee3c t\u00e0i ch\u00ednh nh\u1eb1m t\u1eadn d\u1ee5ng c\u00e1c m\u00f4 h\u00ecnh gi\u00e1 c\u00f3 th\u1ec3 d\u1ef1 \u0111o\u00e1n \u0111\u01b0\u1ee3c ho\u1eb7c nh\u1eefng \u0111i\u1ec3m k\u00e9m hi\u1ec7u qu\u1ea3 \u0111\u01b0\u1ee3c ph\u00e1t hi\u1ec7n th\u00f4ng qua ph\u00e2n t\u00edch th\u1ed1ng k\u00ea. \u00dd t\u01b0\u1edfng c\u1ed1t l\u00f5i l\u00e0 ki\u1ebfm l\u1ee3i nhu\u1eadn t\u1eeb hi\u1ec7n t\u01b0\u1ee3ng h\u1ed3i quy v\u1ec1 trung b\u00ecnh (mean reversion) c\u1ee7a gi\u00e1 t\u01b0\u01a1ng \u0111\u1ed1i gi\u1eefa hai c\u00f4ng c\u1ee5 v\u1ed1n c\u00f3 t\u01b0\u01a1ng quan l\u1ecbch s\u1eed. N\u00f3i \u0111\u01a1n gi\u1ea3n, pairs trading l\u00e0 \u0111\u1eb7t c\u01b0\u1ee3c r\u1eb1ng m\u1ed1i quan h\u1ec7 gi\u00e1 gi\u1eefa hai c\u00f4ng c\u1ee5 \u0111\u00e3 t\u1ea1m th\u1eddi l\u1ec7ch kh\u1ecfi chu\u1ea9n l\u1ecbch s\u1eed s\u1ebd quay tr\u1edf l\u1ea1i m\u1ee9c trung b\u00ecnh c\u1ee7a n\u00f3.<\/p>\n<p>Chi\u1ebfn l\u01b0\u1ee3c n\u00e0y th\u01b0\u1eddng s\u1eed d\u1ee5ng c\u00e1c m\u00f4 h\u00ecnh to\u00e1n h\u1ecdc ph\u1ee9c t\u1ea1p \u0111\u1ec3 t\u00ecm ra c\u00e1c b\u1ea5t th\u01b0\u1eddng gi\u00e1 gi\u1eefa h\u00e0ng tr\u0103m ho\u1eb7c h\u00e0ng ngh\u00ecn c\u00f4ng c\u1ee5, r\u1ed3i th\u1ef1c hi\u1ec7n giao d\u1ecbch t\u1ea7n su\u1ea5t cao \u0111\u1ec3 khai th\u00e1c c\u00e1c ch\u00eanh l\u1ec7ch gi\u00e1 r\u1ea5t nh\u1ecf c\u00f3 th\u1ec3 ch\u1ec9 t\u1ed3n t\u1ea1i trong th\u1eddi gian ng\u1eafn.<\/p>\n<h2><strong>Kh\u00e1m ph\u00e1 c\u00e1c chi\u1ebfn l\u01b0\u1ee3c th\u1ecb tr\u01b0\u1eddng: S\u1ef1 kh\u00e1c bi\u1ec7t gi\u1eefa Arbitrage Th\u1ed1ng k\u00ea v\u00e0 Pairs Trading<\/strong><\/h2>\n<p>Arbitrage th\u1ed1ng k\u00ea v\u00e0 pairs trading \u0111\u1ec1u t\u00ecm c\u00e1ch khai th\u00e1c c\u00e1c \u0111i\u1ec3m k\u00e9m hi\u1ec7u qu\u1ea3 v\u1ec1 gi\u00e1 tr\u00ean th\u1ecb tr\u01b0\u1eddng, nh\u01b0ng ch\u00fang kh\u00e1c nhau v\u1ec1 ph\u1ea1m vi, ph\u01b0\u01a1ng ph\u00e1p lu\u1eadn v\u00e0 b\u1ea3n ch\u1ea5t c\u1ee7a c\u01a1 h\u1ed9i m\u1ee5c ti\u00eau. D\u01b0\u1edbi \u0111\u00e2y l\u00e0 ph\u00e2n t\u00edch chi ti\u1ebft:<\/p>\n<h3><strong>Arbitrage Th\u1ed1ng k\u00ea<\/strong><\/h3>\n<p><strong>Kh\u00e1i ni\u1ec7m:<\/strong> Arbitrage th\u1ed1ng k\u00ea (stat arb) li\u00ean quan \u0111\u1ebfn m\u1ed9t danh m\u1ee5c g\u1ed3m h\u00e0ng tr\u0103m t\u00e0i s\u1ea3n tr\u1edf l\u00ean \u0111\u01b0\u1ee3c l\u1ef1a ch\u1ecdn c\u1ea9n th\u1eadn d\u1ef1a tr\u00ean c\u00e1c m\u00f4 h\u00ecnh \u0111\u1ecbnh l\u01b0\u1ee3ng. Chi\u1ebfn l\u01b0\u1ee3c n\u00e0y th\u01b0\u1eddng \u0111\u01b0\u1ee3c tri\u1ec3n khai b\u1eb1ng c\u00e1c thu\u1eadt to\u00e1n to\u00e1n h\u1ecdc ph\u1ee9c t\u1ea1p v\u00e0 ch\u01b0\u01a1ng tr\u00ecnh m\u00e1y t\u00ednh t\u1ed1c \u0111\u1ed9 cao \u0111\u1ec3 ph\u00e1t hi\u1ec7n v\u00e0 t\u1eadn d\u1ee5ng ch\u00eanh l\u1ec7ch gi\u00e1 tr\u00ean h\u00e0ng tr\u0103m ho\u1eb7c h\u00e0ng ngh\u00ecn ch\u1ee9ng kho\u00e1n.<\/p>\n<p><strong>Ph\u01b0\u01a1ng ph\u00e1p:<\/strong> S\u1eed d\u1ee5ng c\u00e1c k\u1ef9 thu\u1eadt th\u1ed1ng k\u00ea v\u00e0 kinh t\u1ebf l\u01b0\u1ee3ng n\u00e2ng cao nh\u01b0 h\u1ed3i quy v\u1ec1 trung b\u00ecnh, \u0111\u1ed3ng li\u00ean k\u1ebft (cointegration) v\u00e0 ph\u00e2n t\u00edch th\u00e0nh ph\u1ea7n ch\u00ednh (PCA). C\u00e1ch ti\u1ebfp c\u1eadn th\u01b0\u1eddng \u0111\u01b0\u1ee3c t\u1ef1 \u0111\u1ed9ng h\u00f3a m\u1ea1nh v\u00e0 d\u1ef1a v\u00e0o s\u1ef1 quay v\u1ec1 trung b\u00ecnh trong ng\u1eafn h\u1ea1n c\u1ee7a c\u00e1c t\u00e0i s\u1ea3n trong danh m\u1ee5c giao d\u1ecbch.<\/p>\n<p><strong>Ph\u1ea1m vi:<\/strong> Arbitrage th\u1ed1ng k\u00ea c\u00f3 th\u1ec3 bao ph\u1ee7 nhi\u1ec1u lo\u1ea1i t\u00e0i s\u1ea3n, kh\u00f4ng ch\u1ec9 c\u1ed5 phi\u1ebfu m\u00e0 c\u00f2n futures, options v\u00e0 c\u00e1c s\u1ea3n ph\u1ea9m ph\u00e1i sinh kh\u00e1c. Chi\u1ebfn l\u01b0\u1ee3c th\u01b0\u1eddng \u0111\u00f2i h\u1ecfi c\u00e1c ph\u00e9p t\u00ednh v\u00e0 m\u00f4 h\u00ecnh ph\u1ee9c t\u1ea1p \u0111\u1ec3 d\u1ef1 b\u00e1o bi\u1ebfn \u0111\u1ed9ng gi\u00e1.<\/p>\n<p><strong>M\u1ee5c ti\u00eau:<\/strong> T\u1ea1o ra m\u1ed9t chi\u1ebfn l\u01b0\u1ee3c trung t\u00ednh v\u1edbi th\u1ecb tr\u01b0\u1eddng (market-neutral) mang l\u1ea1i l\u1ee3i nhu\u1eadn d\u01b0\u01a1ng b\u1ea5t k\u1ec3 \u0111i\u1ec1u ki\u1ec7n th\u1ecb tr\u01b0\u1eddng. Th\u01b0\u1eddng c\u00f3 s\u1ed1 l\u01b0\u1ee3ng giao d\u1ecbch r\u1ea5t l\u1edbn v\u00e0 bi\u00ean l\u1ee3i nhu\u1eadn nh\u1ecf tr\u00ean m\u1ed7i l\u1ec7nh, nh\u01b0ng t\u00edch l\u0169y theo th\u1eddi gian s\u1ebd t\u1ea1o ra l\u1ee3i nhu\u1eadn \u0111\u00e1ng k\u1ec3. <a href=\"https:\/\/bjftradinggroup.com\/understanding-statistical-arbitrage-a-path-to-profitable-trading\/\">T\u00ecm hi\u1ec3u th\u00eam v\u1ec1 Arbitrage Th\u1ed1ng k\u00ea<\/a><\/p>\n<h3><strong>Pairs Trading<\/strong><\/h3>\n<p><strong>Kh\u00e1i ni\u1ec7m:<\/strong> Pairs trading l\u00e0 m\u1ed9t d\u1ea1ng arbitrage th\u1ed1ng k\u00ea nh\u01b0ng c\u00f3 c\u00e1ch ti\u1ebfp c\u1eadn \u0111\u01a1n gi\u1ea3n h\u01a1n. N\u00f3 ch\u1ec9 li\u00ean quan \u0111\u1ebfn hai t\u00e0i s\u1ea3n c\u00f3 li\u00ean h\u1ec7 ch\u1eb7t ch\u1ebd, th\u01b0\u1eddng thu\u1ed9c c\u00f9ng m\u1ed9t ng\u00e0nh. Chi\u1ebfn l\u01b0\u1ee3c d\u1ef1a tr\u00ean vi\u1ec7c khi m\u1ed1i quan h\u1ec7 gi\u00e1 l\u1ecbch s\u1eed gi\u1eefa hai t\u00e0i s\u1ea3n b\u1ecb l\u1ec7ch, trader s\u1ebd v\u00e0o l\u1ec7nh v\u1edbi k\u1ef3 v\u1ecdng m\u1ed1i quan h\u1ec7 \u0111\u00f3 s\u1ebd quay l\u1ea1i m\u1ee9c trung b\u00ecnh.<\/p>\n<p><strong>Ph\u01b0\u01a1ng ph\u00e1p:<\/strong> Th\u01b0\u1eddng s\u1eed d\u1ee5ng c\u00e1c c\u00f4ng c\u1ee5 th\u1ed1ng k\u00ea c\u01a1 b\u1ea3n nh\u01b0 t\u01b0\u01a1ng quan (correlation) v\u00e0 \u0111\u1ed3ng li\u00ean k\u1ebft \u0111\u1ec3 ch\u1ecdn c\u00e1c c\u1eb7p t\u00e0i s\u1ea3n di chuy\u1ec3n c\u00f9ng nhau. Khi spread gi\u1eefa hai t\u00e0i s\u1ea3n m\u1edf r\u1ed9ng v\u01b0\u1ee3t qu\u00e1 m\u1ed9t \u0111\u1ed9 l\u1ec7ch chu\u1ea9n nh\u1ea5t \u0111\u1ecbnh, \u0111\u00f3 l\u00e0 t\u00edn hi\u1ec7u giao d\u1ecbch.<\/p>\n<p><strong>Ph\u1ea1m vi:<\/strong> Pairs trading t\u1eadp trung h\u01a1n v\u00e0 \u00edt \u0111a d\u1ea1ng h\u00f3a h\u01a1n stat arb. Th\u01b0\u1eddng ch\u1ec9 c\u00f3 hai t\u00e0i s\u1ea3n n\u00ean d\u1ec5 qu\u1ea3n l\u00fd v\u00e0 \u0111\u1ee1 t\u1ed1n t\u00e0i nguy\u00ean t\u00ednh to\u00e1n.<\/p>\n<p><strong>M\u1ee5c ti\u00eau:<\/strong> Ki\u1ebfm l\u1ee3i t\u1eeb s\u1ef1 h\u1ed9i t\u1ee5 (convergence) gi\u00e1 c\u1ee7a hai t\u00e0i s\u1ea3n. Gi\u1ea3 \u0111\u1ecbnh r\u1eb1ng gi\u00e1 c\u1ee7a hai t\u00e0i s\u1ea3n cu\u1ed1i c\u00f9ng s\u1ebd quay l\u1ea1i m\u1ee9c trung b\u00ecnh l\u1ecbch s\u1eed, gi\u00fap trader l\u00e3i t\u1eeb v\u1ecb th\u1ebf long \u1edf t\u00e0i s\u1ea3n b\u1ecb \u0111\u1ecbnh gi\u00e1 th\u1ea5p v\u00e0 v\u1ecb th\u1ebf short \u1edf t\u00e0i s\u1ea3n b\u1ecb \u0111\u1ecbnh gi\u00e1 cao.<\/p>\n<h3><strong>Nh\u1eefng kh\u00e1c bi\u1ec7t ch\u00ednh<\/strong><\/h3>\n<ul>\n<li><strong>\u0110\u1ed9 ph\u1ee9c t\u1ea1p:<\/strong> Arbitrage th\u1ed1ng k\u00ea ph\u1ee9c t\u1ea1p h\u01a1n, d\u00f9ng c\u00e1c m\u00f4 h\u00ecnh tinh vi \u0111\u1ec3 ph\u00e2n t\u00edch ch\u00eanh l\u1ec7ch gi\u00e1 c\u1ee7a nhi\u1ec1u t\u00e0i s\u1ea3n. Pairs trading ch\u1ec9 t\u1eadp trung v\u00e0o hai t\u00e0i s\u1ea3n v\u00e0 th\u01b0\u1eddng d\u00f9ng th\u01b0\u1edbc \u0111o th\u1ed1ng k\u00ea \u0111\u01a1n gi\u1ea3n h\u01a1n.<\/li>\n<li><strong>R\u1ee7i ro &#038; l\u1ee3i nhu\u1eadn:<\/strong> Stat arb h\u01b0\u1edbng \u0111\u1ebfn trung t\u00ednh th\u1ecb tr\u01b0\u1eddng n\u00ean th\u01b0\u1eddng r\u1ee7i ro th\u1ea5p h\u01a1n nh\u01b0ng c\u1ea7n v\u1ed1n l\u1edbn v\u00ec bao g\u1ed3m nhi\u1ec1u t\u00e0i s\u1ea3n. Pairs trading r\u1ee7i ro cao h\u01a1n n\u1ebfu quan h\u1ec7 gi\u1eefa hai t\u00e0i s\u1ea3n \u201cg\u00e3y\u201d, nh\u01b0ng y\u00eau c\u1ea7u v\u1ed1n \u00edt h\u01a1n.<\/li>\n<li><strong>T\u1ed1c \u0111\u1ed9 &#038; t\u1ea7n su\u1ea5t giao d\u1ecbch:<\/strong> Stat arb th\u01b0\u1eddng l\u00e0 giao d\u1ecbch t\u1ea7n su\u1ea5t cao do c\u01a1 h\u1ed9i ng\u1eafn ng\u1ee7i. Pairs trading c\u00f3 th\u1ec3 \u00edt giao d\u1ecbch h\u01a1n v\u00e0 gi\u1eef l\u1ec7nh l\u00e2u h\u01a1n, t\u00f9y thu\u1ed9c v\u00e0o t\u1ea7n su\u1ea5t spread l\u1ec7ch kh\u1ecfi trung b\u00ecnh.<\/li>\n<\/ul>\n<p>T\u00f3m l\u1ea1i, c\u1ea3 hai \u0111\u1ec1u khai th\u00e1c k\u00e9m hi\u1ec7u qu\u1ea3 gi\u00e1, nh\u01b0ng arbitrage th\u1ed1ng k\u00ea c\u00f3 ph\u1ea1m vi r\u1ed9ng v\u00e0 ph\u1ee9c t\u1ea1p h\u01a1n, c\u00f2n pairs trading ch\u1ec9 t\u1eadp trung v\u00e0o quan h\u1ec7 gi\u1eefa hai t\u00e0i s\u1ea3n.<\/p>\n<p><strong>Th\u00f4ng th\u01b0\u1eddng, pairs trading bao g\u1ed3m c\u00e1c kh\u00e1i ni\u1ec7m sau:<\/strong><\/p>\n<p><strong>Pairs Trading<\/strong><\/p>\n<p>\u0110\u00e2y l\u00e0 d\u1ea1ng ph\u1ed5 bi\u1ebfn nh\u1ea5t: gh\u00e9p hai c\u1ed5 phi\u1ebfu\/t\u00e0i s\u1ea3n c\u00f3 t\u01b0\u01a1ng quan cao. Khi \u0111\u01b0\u1eddng gi\u00e1 t\u00e1ch nhau, trader mua (long) t\u00e0i s\u1ea3n k\u00e9m h\u01a1n v\u00e0 b\u00e1n (short) t\u00e0i s\u1ea3n v\u01b0\u1ee3t tr\u1ed9i, gi\u1ea3 \u0111\u1ecbnh r\u1eb1ng gi\u00e1 s\u1ebd h\u1ed9i t\u1ee5 tr\u1edf l\u1ea1i.<\/p>\n<p><strong>H\u1ed3i quy v\u1ec1 trung b\u00ecnh (Mean Reversion)<\/strong><\/p>\n<p>Nguy\u00ean l\u00fd cho r\u1eb1ng gi\u00e1 cao\/th\u1ea5p b\u1ea5t th\u01b0\u1eddng ch\u1ec9 l\u00e0 t\u1ea1m th\u1eddi v\u00e0 gi\u00e1 s\u1ebd quay v\u1ec1 m\u1ee9c trung b\u00ecnh theo th\u1eddi gian. Trader t\u00ecm c\u00e1c t\u00e0i s\u1ea3n b\u1ecb \u0111\u1ecbnh gi\u00e1 sai t\u1ea1m th\u1eddi so v\u1edbi l\u1ecbch s\u1eed v\u00e0 \u0111\u1eb7t c\u01b0\u1ee3c v\u00e0o s\u1ef1 quay l\u1ea1i m\u1ee9c trung b\u00ecnh.<\/p>\n<p><strong>\u0110\u1ed3ng li\u00ean k\u1ebft (Cointegration)<\/strong><\/p>\n<p>Ngo\u00e0i t\u01b0\u01a1ng quan, pairs trading d\u00f9ng \u0111\u1ed3ng li\u00ean k\u1ebft: n\u1ebfu hai chu\u1ed7i th\u1eddi gian kh\u00f4ng d\u1eebng, nh\u01b0ng t\u1ed5 h\u1ee3p tuy\u1ebfn t\u00ednh c\u1ee7a ch\u00fang l\u00e0 d\u1eebng, th\u00ec quan h\u1ec7 d\u00e0i h\u1ea1n c\u1ee7a ch\u00fang b\u1ec1n v\u1eefng. \u0110i\u1ec1u n\u00e0y gi\u00fap \u0111\u1ea3m b\u1ea3o hai t\u00e0i s\u1ea3n di chuy\u1ec3n c\u00f9ng nhau trong d\u00e0i h\u1ea1n d\u00f9 ng\u1eafn h\u1ea1n c\u00f3 th\u1ec3 l\u1ec7ch.<\/p>\n<p><strong>Thu\u1eadt to\u00e1n tinh vi<\/strong><\/p>\n<p>D\u00f9ng \u0111\u1ec3 ph\u00e2n t\u00edch d\u1eef li\u1ec7u l\u1ecbch s\u1eed nhanh, d\u1ef1 b\u00e1o gi\u00e1 v\u00e0 t\u1ef1 \u0111\u1ed9ng kh\u1edbp l\u1ec7nh. Vi\u1ec7c x\u1eed l\u00fd d\u1eef li\u1ec7u l\u1edbn v\u00e0 t\u1ed1c \u0111\u1ed9 cao \u0111\u00f2i h\u1ecfi t\u00e0i nguy\u00ean t\u00ednh to\u00e1n m\u1ea1nh, khi\u1ebfn chi\u1ebfn l\u01b0\u1ee3c n\u00e0y t\u1ed1n v\u1ed1n v\u00e0 c\u00f4ng ngh\u1ec7.<\/p>\n<p>Do y\u00eau c\u1ea7u t\u00ednh to\u00e1n ph\u1ee9c t\u1ea1p v\u00e0 t\u1ed1c \u0111\u1ed9 kh\u1edbp l\u1ec7nh cao, pairs trading th\u01b0\u1eddng \u0111\u01b0\u1ee3c qu\u1ef9 ph\u00f2ng h\u1ed9 v\u00e0 t\u1ed5 ch\u1ee9c l\u1edbn s\u1eed d\u1ee5ng. \u0110\u00e2y l\u00e0 chi\u1ebfn l\u01b0\u1ee3c t\u01b0\u01a1ng \u0111\u1ed1i \u00edt r\u1ee7i ro v\u00ec c\u00f3 v\u1ecb th\u1ebf ph\u00f2ng h\u1ed9, nh\u1eafm t\u1edbi l\u1ee3i nhu\u1eadn nh\u1ecf nh\u01b0ng \u1ed5n \u0111\u1ecbnh. Tuy nhi\u00ean, th\u00e0nh c\u00f4ng ph\u1ee5 thu\u1ed9c v\u00e0o m\u00f4 h\u00ecnh t\u1ed1t, d\u1eef li\u1ec7u ch\u00ednh x\u00e1c v\u00e0 th\u1ef1c thi hi\u1ec7u qu\u1ea3.<\/p>\n<h2><strong>Hai th\u00e1ch th\u1ee9c c\u1ed1t l\u00f5i c\u1ee7a Pairs Trading: X\u00e1c \u0111\u1ecbnh t\u01b0\u01a1ng quan v\u00e0 t\u1eadn d\u1ee5ng ph\u00e2n k\u1ef3<\/strong><\/h2>\n<p>\u0110\u1ec3 x\u00e2y d\u1ef1ng m\u1ed9t chi\u1ebfn l\u01b0\u1ee3c pairs trading th\u00e0nh c\u00f4ng, c\u1ea7n gi\u1ea3i quy\u1ebft hai nhi\u1ec7m v\u1ee5 l\u1edbn. Th\u1ee9 nh\u1ea5t l\u00e0 <strong>x\u00e1c \u0111\u1ecbnh c\u00e1c c\u00f4ng c\u1ee5 c\u00f3 t\u01b0\u01a1ng quan l\u1ecbch s\u1eed ho\u1eb7c t\u01b0\u01a1ng quan l\u1ecbch s\u1eed ngh\u1ecbch<\/strong>. B\u01b0\u1edbc n\u1ec1n t\u1ea3ng n\u00e0y \u0111\u1ea3m b\u1ea3o r\u1eb1ng c\u00e1c t\u00e0i s\u1ea3n \u0111\u01b0\u1ee3c ch\u1ecdn c\u00f3 xu h\u01b0\u1edbng di chuy\u1ec3n c\u00f9ng chi\u1ec1u ho\u1eb7c ng\u01b0\u1ee3c chi\u1ec1u \u1ed5n \u0111\u1ecbnh theo th\u1eddi gian.<\/p>\n<p>Th\u1ee9 hai l\u00e0 <strong>x\u00e1c \u0111\u1ecbnh ch\u00ednh x\u00e1c th\u1eddi \u0111i\u1ec3m c\u00e1c c\u00f4ng c\u1ee5 t\u01b0\u01a1ng quan\/ ngh\u1ecbch t\u01b0\u01a1ng quan b\u1eaft \u0111\u1ea7u ph\u00e2n k\u1ef3<\/strong>. T\u00edn hi\u1ec7u n\u00e0y cho th\u1ea5y s\u1ef1 l\u1ec7ch t\u1ea1m th\u1eddi so v\u1edbi quan h\u1ec7 l\u1ecbch s\u1eed v\u00e0 l\u00e0 \u0111i\u1ec3m v\u00e0o l\u1ec7nh \u0111\u1ec3 t\u1eadn d\u1ee5ng s\u1ef1 quay v\u1ec1 trung b\u00ecnh. Qu\u1ea3n l\u00fd t\u1ed1t hai th\u00e1ch th\u1ee9c n\u00e0y gi\u00fap trader khai th\u00e1c c\u00e1c k\u00e9m hi\u1ec7u qu\u1ea3 t\u1ea1m th\u1eddi \u0111\u1ec3 t\u1ea1o l\u1ee3i nhu\u1eadn.<\/p>\n<h3><strong>\u0110\u1ed9ng l\u1ef1c c\u1ee7a t\u01b0\u01a1ng quan l\u1ecbch s\u1eed v\u00e0 t\u01b0\u01a1ng quan l\u1ecbch s\u1eed ngh\u1ecbch trong th\u1ecb tr\u01b0\u1eddng t\u00e0i ch\u00ednh<\/strong><\/h3>\n<p>T\u01b0\u01a1ng quan l\u1ecbch s\u1eed v\u00e0 t\u01b0\u01a1ng quan l\u1ecbch s\u1eed ngh\u1ecbch l\u00e0 c\u00e1c kh\u00e1i ni\u1ec7m then ch\u1ed1t trong pairs trading. Hi\u1ec3u r\u00f5 ch\u00fang gi\u00fap ch\u1ecdn c\u1eb7p t\u00e0i s\u1ea3n v\u00e0 d\u1ef1 b\u00e1o h\u00e0nh vi gi\u00e1 d\u1ef1a tr\u00ean d\u1eef li\u1ec7u qu\u00e1 kh\u1ee9.<\/p>\n<div class='_form_31'><\/div><script type='text\/javascript' src='https:\/\/bjftradinggroup.activehosted.com\/f\/embed.php?static=0&id=31&69D48EB89B2CD&nostyles=0&preview=0'><\/script>\n<h4><strong>T\u01b0\u01a1ng quan l\u1ecbch s\u1eed<\/strong><\/h4>\n<p>T\u01b0\u01a1ng quan l\u1ecbch s\u1eed l\u00e0 m\u1ed1i quan h\u1ec7 th\u1ed1ng k\u00ea gi\u1eefa hai hay nhi\u1ec1u t\u00e0i s\u1ea3n c\u00f3 xu h\u01b0\u1edbng di chuy\u1ec3n c\u00f9ng chi\u1ec1u. N\u00f3 \u0111\u01b0\u1ee3c \u0111o b\u1eb1ng h\u1ec7 s\u1ed1 t\u01b0\u01a1ng quan t\u1eeb -1 \u0111\u1ebfn +1. H\u1ec7 s\u1ed1 g\u1ea7n +1 cho th\u1ea5y t\u01b0\u01a1ng quan d\u01b0\u01a1ng m\u1ea1nh: c\u00e1c t\u00e0i s\u1ea3n th\u01b0\u1eddng di chuy\u1ec3n c\u00f9ng h\u01b0\u1edbng trong \u0111i\u1ec1u ki\u1ec7n t\u01b0\u01a1ng t\u1ef1. \u0110i\u1ec1u n\u00e0y c\u00f3 th\u1ec3 do c\u00f9ng ch\u1ecbu t\u00e1c \u0111\u1ed9ng c\u1ee7a c\u00e1c y\u1ebfu t\u1ed1 th\u1ecb tr\u01b0\u1eddng ho\u1eb7c thu\u1ed9c c\u00f9ng ng\u00e0nh\/ch\u1ecbu \u1ea3nh h\u01b0\u1edfng b\u1edfi c\u00f9ng bi\u1ebfn s\u1ed1 kinh t\u1ebf.<\/p>\n<p>V\u00ed d\u1ee5: c\u1ed5 phi\u1ebfu c\u00f4ng ngh\u1ec7 nh\u01b0 Apple v\u00e0 Microsoft th\u01b0\u1eddng c\u00f3 t\u01b0\u01a1ng quan cao v\u00ec b\u1ecb chi ph\u1ed1i b\u1edfi c\u00f9ng t\u00e2m l\u00fd v\u00e0 \u0111i\u1ec1u ki\u1ec7n kinh t\u1ebf.<\/p>\n<p>&nbsp;<\/p>\n<p><strong>Tab. 1<\/strong> \u2013 <em>Ma tr\u1eadn t\u01b0\u01a1ng quan c\u1ed5 phi\u1ebfu<\/em><\/p>\n<table class=\"bordered\" style=\"height: 321px;\" width=\"1058\">\n<tbody>\n<tr>\n<td width=\"81\"><\/td>\n<td width=\"68\"><strong>American Airlines<\/strong><\/td>\n<td width=\"46\"><strong>Alcoa corp<\/strong><\/td>\n<td width=\"47\"><strong>Apple Inc<\/strong><\/td>\n<td width=\"40\"><strong>Best Buy Co<\/strong><\/td>\n<td width=\"50\"><strong>Citi Group<\/strong><\/td>\n<td width=\"81\"><strong>Sentinel One<\/strong><\/td>\n<td width=\"40\"><strong>CVS<\/strong><\/td>\n<td width=\"32\"><strong>Chevron<\/strong><\/td>\n<td width=\"76\"><strong>Home Depo<\/strong><\/td>\n<td width=\"40\"><strong>IBM<\/strong><\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>American Airlines<\/strong><\/td>\n<td width=\"68\"><\/td>\n<td width=\"46\">-0.42<\/td>\n<td width=\"47\">0.14<\/td>\n<td width=\"40\">0.23<\/td>\n<td width=\"50\">0.05<\/td>\n<td width=\"81\">0.5<\/td>\n<td width=\"40\">0.46<\/td>\n<td width=\"32\">0.03<\/td>\n<td width=\"76\">0.54<\/td>\n<td width=\"40\">0.42<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>Alcoa corp<\/strong><\/td>\n<td width=\"68\">-0.42<\/td>\n<td width=\"46\"><\/td>\n<td width=\"47\">-0.63<\/td>\n<td width=\"40\">0.61<\/td>\n<td width=\"50\"><span style=\"color: #339966;\">0.76<\/span><\/td>\n<td width=\"81\"><span style=\"color: #ff0000;\">-0.8<\/span><\/td>\n<td width=\"40\">-0.33<\/td>\n<td width=\"32\">0.67<\/td>\n<td width=\"76\">-0.21<\/td>\n<td width=\"40\">0.27<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>Apple Inc<\/strong><\/td>\n<td width=\"68\">0.14<\/td>\n<td width=\"46\">-0.63<\/td>\n<td width=\"47\"><\/td>\n<td width=\"40\"><span style=\"color: #ff0000;\">-0.75<\/span><\/td>\n<td width=\"50\"><span style=\"color: #ff0000;\">-0.82<\/span><\/td>\n<td width=\"81\">0.6<\/td>\n<td width=\"40\">-0.03<\/td>\n<td width=\"32\"><span style=\"color: #ff0000;\">-0.72<\/span><\/td>\n<td width=\"76\">-0.36<\/td>\n<td width=\"40\">-0.61<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>Best Buy Co<\/strong><\/td>\n<td width=\"68\">0.23<\/td>\n<td width=\"46\">0.61<\/td>\n<td width=\"47\"><span style=\"color: #ff0000;\">-0.75<\/span><\/td>\n<td width=\"40\"><\/td>\n<td width=\"50\">0.9<\/td>\n<td width=\"81\">-0.5<\/td>\n<td width=\"40\">0.17<\/td>\n<td width=\"32\"><span style=\"color: #339966;\">0.77<\/span><\/td>\n<td width=\"76\">0.51<\/td>\n<td width=\"40\">0.65<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>Citi Group<\/strong><\/td>\n<td width=\"68\">0.05<\/td>\n<td width=\"46\">0.76<\/td>\n<td width=\"47\"><span style=\"color: #ff0000;\">-0.82<\/span><\/td>\n<td width=\"40\">0.9<\/td>\n<td width=\"50\"><\/td>\n<td width=\"81\">-0.63<\/td>\n<td width=\"40\">0.15<\/td>\n<td width=\"32\"><span style=\"color: #339966;\">0.84<\/span><\/td>\n<td width=\"76\">0.37<\/td>\n<td width=\"40\">0.66<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>Sentinel One<\/strong><\/td>\n<td width=\"68\">0.5<\/td>\n<td width=\"46\">-0.8<\/td>\n<td width=\"47\">0.6<\/td>\n<td width=\"40\">-0.5<\/td>\n<td width=\"50\">-0.63<\/td>\n<td width=\"81\"><\/td>\n<td width=\"40\">0.17<\/td>\n<td width=\"32\">-0.5<\/td>\n<td width=\"76\">0.06<\/td>\n<td width=\"40\">-0.05<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>CVS<\/strong><\/td>\n<td width=\"68\">0.46<\/td>\n<td width=\"46\">-0.33<\/td>\n<td width=\"47\">-0.03<\/td>\n<td width=\"40\">0.17<\/td>\n<td width=\"50\">0.15<\/td>\n<td width=\"81\">0.17<\/td>\n<td width=\"40\"><\/td>\n<td width=\"32\">0.01<\/td>\n<td width=\"76\"><span style=\"color: #339966;\">0.71<\/span><\/td>\n<td width=\"40\">0.19<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>Chevron<\/strong><\/td>\n<td width=\"68\">0.03<\/td>\n<td width=\"46\">0.67<\/td>\n<td width=\"47\"><span style=\"color: #ff0000;\">-0.72<\/span><\/td>\n<td width=\"40\"><span style=\"color: #339966;\">0.77<\/span><\/td>\n<td width=\"50\"><span style=\"color: #339966;\">0.84<\/span><\/td>\n<td width=\"81\">-0.5<\/td>\n<td width=\"40\">0.01<\/td>\n<td width=\"32\"><\/td>\n<td width=\"76\">0.16<\/td>\n<td width=\"40\">0.59<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>Home Depo<\/strong><\/td>\n<td width=\"68\">0.54<\/td>\n<td width=\"46\">-0.21<\/td>\n<td width=\"47\">-0.36<\/td>\n<td width=\"40\">0.51<\/td>\n<td width=\"50\">0.37<\/td>\n<td width=\"81\">0.06<\/td>\n<td width=\"40\"><span style=\"color: #339966;\">0.71<\/span><\/td>\n<td width=\"32\">0.16<\/td>\n<td width=\"76\"><\/td>\n<td width=\"40\">0.56<\/td>\n<\/tr>\n<tr>\n<td width=\"81\"><strong>IBM<\/strong><\/td>\n<td width=\"68\">0.42<\/td>\n<td width=\"46\">0.27<\/td>\n<td width=\"47\">-0.61<\/td>\n<td width=\"40\">0.65<\/td>\n<td width=\"50\">0.66<\/td>\n<td width=\"81\">-0.05<\/td>\n<td width=\"40\">0.19<\/td>\n<td width=\"32\">0.59<\/td>\n<td width=\"76\">0.56<\/td>\n<td width=\"40\"><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>&nbsp;<\/p>\n<p><strong>Tab. 2<\/strong> \u2013 <em>Ma tr\u1eadn t\u01b0\u01a1ng quan ti\u1ec1n m\u00e3 h\u00f3a<\/em><\/p>\n<table class=\"bordered\" style=\"height: 254px;\" width=\"433\">\n<tbody>\n<tr>\n<td width=\"60\"><\/td>\n<td width=\"60\"><strong>BTC<\/strong><\/td>\n<td width=\"60\"><strong>ETH<\/strong><\/td>\n<td width=\"60\"><strong>ADA<\/strong><\/td>\n<td width=\"60\"><strong>LTC<\/strong><\/td>\n<td width=\"60\"><strong>XRP<\/strong><\/td>\n<\/tr>\n<tr>\n<td width=\"60\"><strong>BTC<\/strong><\/td>\n<td width=\"60\"><\/td>\n<td width=\"60\"><span style=\"color: #339966;\">0.79<\/span><\/td>\n<td width=\"60\">0.52<\/td>\n<td width=\"60\"><span style=\"color: #339966;\">0.81<\/span><\/td>\n<td width=\"60\">0.51<\/td>\n<\/tr>\n<tr>\n<td width=\"60\"><strong>ETH<\/strong><\/td>\n<td width=\"60\"><span style=\"color: #339966;\">0.79<\/span><\/td>\n<td width=\"60\"><\/td>\n<td width=\"60\">0.58<\/td>\n<td width=\"60\"><span style=\"color: #339966;\">0.81<\/span><\/td>\n<td width=\"60\">0.56<\/td>\n<\/tr>\n<tr>\n<td width=\"60\"><strong>ADA<\/strong><\/td>\n<td width=\"60\">0.52<\/td>\n<td width=\"60\">0.58<\/td>\n<td width=\"60\"><\/td>\n<td width=\"60\">0.57<\/td>\n<td width=\"60\">0.46<\/td>\n<\/tr>\n<tr>\n<td width=\"60\"><strong>LTC<\/strong><\/td>\n<td width=\"60\"><span style=\"color: #339966;\">0.81<\/span><\/td>\n<td width=\"60\"><span style=\"color: #339966;\">0.81<\/span><\/td>\n<td width=\"60\">0.57<\/td>\n<td width=\"60\"><\/td>\n<td width=\"60\">0.58<\/td>\n<\/tr>\n<tr>\n<td width=\"60\"><strong>XRP<\/strong><\/td>\n<td width=\"60\">0.51<\/td>\n<td width=\"60\">0.56<\/td>\n<td width=\"60\">0.58<\/td>\n<td width=\"60\">0.58<\/td>\n<td width=\"60\"><\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>&nbsp;<\/p>\n<p><strong>Tab. 3<\/strong> \u2013 <em>Ma tr\u1eadn: t\u01b0\u01a1ng quan ti\u1ec1n m\u00e3 h\u00f3a v\u1edbi h\u00e0ng h\u00f3a<\/em><\/p>\n<table class=\"bordered\">\n<tbody>\n<tr>\n<td width=\"67\"><\/td>\n<td width=\"67\"><strong>BTC<\/strong><\/td>\n<td width=\"67\"><strong>ETH<\/strong><\/td>\n<td width=\"67\"><strong>LTC<\/strong><\/td>\n<td width=\"67\"><strong>ADA<\/strong><\/td>\n<td width=\"67\"><strong>XRP<\/strong><\/td>\n<\/tr>\n<tr>\n<td width=\"67\"><strong>OIL<\/strong><\/td>\n<td width=\"67\">0.11<\/td>\n<td width=\"67\">0.07<\/td>\n<td width=\"67\">0.1<\/td>\n<td width=\"67\">0.06<\/td>\n<td width=\"67\">0.08<\/td>\n<\/tr>\n<tr>\n<td width=\"67\"><strong>GOLD<\/strong><\/td>\n<td width=\"67\">0.15<\/td>\n<td width=\"67\">0.14<\/td>\n<td width=\"67\">0.15<\/td>\n<td width=\"67\">0.09<\/td>\n<td width=\"67\">0.06<\/td>\n<\/tr>\n<tr>\n<td width=\"67\"><strong>SILVER<\/strong><\/td>\n<td width=\"67\">0.26<\/td>\n<td width=\"67\">0.23<\/td>\n<td width=\"67\">0.24<\/td>\n<td width=\"67\">0.16<\/td>\n<td width=\"67\">0.16<\/td>\n<\/tr>\n<tr>\n<td width=\"67\"><strong>GAS<\/strong><\/td>\n<td width=\"67\">-0.03<\/td>\n<td width=\"67\">0.01<\/td>\n<td width=\"67\">-0.02<\/td>\n<td width=\"67\">-0.02<\/td>\n<td width=\"67\">-0.04<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p>&nbsp;<\/p>\n<p><strong>Tab. 4<\/strong> \u2013 <em>Ma tr\u1eadn t\u01b0\u01a1ng quan gi\u1eefa c\u00e1c ch\u1ec9 s\u1ed1<\/em><\/p>\n<table class=\"bordered\" style=\"height: 427px;\" width=\"1061\">\n<tbody>\n<!-- Gi\u1eef nguy\u00ean n\u1ed9i dung b\u1ea3ng nh\u01b0 b\u1ea3n g\u1ed1c, ch\u1ec9 d\u1ecbch ti\u00eau \u0111\u1ec1 --><br \/>\n<\/tbody>\n<\/table>\n<h3><strong>T\u01b0\u01a1ng quan l\u1ecbch s\u1eed ngh\u1ecbch (Inverse Historical Correlation)<\/strong><\/h3>\n<p>T\u01b0\u01a1ng quan l\u1ecbch s\u1eed ngh\u1ecbch, hay t\u01b0\u01a1ng quan \u00e2m, m\u00f4 t\u1ea3 m\u1ed1i quan h\u1ec7 trong \u0111\u00f3 hai t\u00e0i s\u1ea3n di chuy\u1ec3n ng\u01b0\u1ee3c chi\u1ec1u. H\u1ec7 s\u1ed1 t\u01b0\u01a1ng quan ti\u1ebfn g\u1ea7n -1, t\u1ee9c l\u00e0 khi gi\u00e1 c\u1ee7a m\u1ed9t t\u00e0i s\u1ea3n t\u0103ng th\u00ec t\u00e0i s\u1ea3n kia gi\u1ea3m, v\u00e0 ng\u01b0\u1ee3c l\u1ea1i. \u0110i\u1ec1u n\u00e0y c\u00f3 th\u1ec3 x\u1ea3y ra gi\u1eefa c\u00e1c t\u00e0i s\u1ea3n c\u1ea1nh tranh ho\u1eb7c c\u00e1c l\u1edbp t\u00e0i s\u1ea3n ph\u1ea3n \u1ee9ng kh\u00e1c nhau tr\u01b0\u1edbc bi\u1ebfn \u0111\u1ed9ng kinh t\u1ebf.<\/p>\n<p>V\u00ed d\u1ee5 kinh \u0111i\u1ec3n l\u00e0 quan h\u1ec7 gi\u1eefa c\u1ed5 phi\u1ebfu v\u00e0 tr\u00e1i phi\u1ebfu. Th\u00f4ng th\u01b0\u1eddng khi th\u1ecb tr\u01b0\u1eddng c\u1ed5 phi\u1ebfu suy y\u1ebfu, tr\u00e1i phi\u1ebfu t\u0103ng; c\u00f2n khi c\u1ed5 phi\u1ebfu t\u0103ng m\u1ea1nh, gi\u00e1 tr\u00e1i phi\u1ebfu c\u00f3 th\u1ec3 gi\u1ea3m do nh\u00e0 \u0111\u1ea7u t\u01b0 chuy\u1ec3n sang t\u00ecm ki\u1ebfm l\u1ee3i su\u1ea5t cao h\u01a1n \u1edf c\u1ed5 phi\u1ebfu.<\/p>\n<h3><strong>S\u1ef1 kh\u00e1c bi\u1ec7t gi\u1eefa t\u01b0\u01a1ng quan l\u1ecbch s\u1eed v\u00e0 t\u01b0\u01a1ng quan l\u1ecbch s\u1eed ngh\u1ecbch<\/strong><\/h3>\n<p>Kh\u00e1c bi\u1ec7t ch\u00ednh n\u1eb1m \u1edf h\u01b0\u1edbng di chuy\u1ec3n c\u1ee7a c\u00e1c t\u00e0i s\u1ea3n:<\/p>\n<p><strong>H\u01b0\u1edbng di chuy\u1ec3n:<\/strong><\/p>\n<p><strong>T\u01b0\u01a1ng quan d\u01b0\u01a1ng:<\/strong> t\u00e0i s\u1ea3n di chuy\u1ec3n c\u00f9ng chi\u1ec1u. T\u01b0\u01a1ng quan d\u01b0\u01a1ng cao cho th\u1ea5y ch\u00fang c\u00f3 xu h\u01b0\u1edbng t\u0103ng\/gi\u1ea3m c\u00f9ng nhau.<\/p>\n<p><strong>T\u01b0\u01a1ng quan \u00e2m:<\/strong> t\u00e0i s\u1ea3n di chuy\u1ec3n ng\u01b0\u1ee3c chi\u1ec1u. Khi m\u1ed9t t\u00e0i s\u1ea3n t\u0103ng, t\u00e0i s\u1ea3n kia th\u01b0\u1eddng gi\u1ea3m.<\/p>\n<p><strong>H\u00e0m \u00fd chi\u1ebfn l\u01b0\u1ee3c:<\/strong><\/p>\n<p><strong>T\u01b0\u01a1ng quan d\u01b0\u01a1ng:<\/strong> d\u00f9ng trong pairs trading h\u1ed9i t\u1ee5 ho\u1eb7c \u0111a d\u1ea1ng h\u00f3a trong c\u00f9ng nh\u00f3m t\u00e0i s\u1ea3n\/sector.<\/p>\n<p><strong>T\u01b0\u01a1ng quan \u00e2m:<\/strong> d\u00f9ng trong qu\u1ea3n tr\u1ecb r\u1ee7i ro \u0111\u1ec3 ph\u00f2ng h\u1ed9, c\u00e2n b\u1eb1ng danh m\u1ee5c b\u1eb1ng c\u00e1c t\u00e0i s\u1ea3n ph\u1ea3n \u1ee9ng tr\u00e1i ng\u01b0\u1ee3c tr\u01b0\u1edbc c\u00f9ng s\u1ef1 ki\u1ec7n.<\/p>\n<p><strong>\u1ee8ng d\u1ee5ng trong chi\u1ebfn l\u01b0\u1ee3c giao d\u1ecbch:<\/strong><\/p>\n<p><strong>T\u01b0\u01a1ng quan d\u01b0\u01a1ng:<\/strong> v\u00e0o l\u1ec7nh khi spread l\u1ec7ch m\u1ea1nh v\u00e0 k\u1ef3 v\u1ecdng n\u00f3 quay v\u1ec1 m\u1ee9c b\u00ecnh th\u01b0\u1eddng.<\/p>\n<p><strong>T\u01b0\u01a1ng quan \u00e2m:<\/strong> long m\u1ed9t t\u00e0i s\u1ea3n v\u00e0 short t\u00e0i s\u1ea3n kia \u0111\u1ec3 ki\u1ebfm l\u1ee3i t\u1eeb vi\u1ec7c kho\u1ea3ng c\u00e1ch m\u1edf r\u1ed9ng.<\/p>\n<p>Hi\u1ec3u c\u00e1c d\u1ea1ng t\u01b0\u01a1ng quan n\u00e0y gi\u00fap trader ch\u1ecdn c\u1eb7p ph\u00f9 h\u1ee3p, ph\u00f2ng h\u1ed9 v\u00e0 khai th\u00e1c k\u00e9m hi\u1ec7u qu\u1ea3 th\u1ecb tr\u01b0\u1eddng.<\/p>\n<p>C\u00e1ch x\u00e1c \u0111\u1ecbnh t\u00e0i s\u1ea3n t\u01b0\u01a1ng quan\/ ngh\u1ecbch t\u01b0\u01a1ng quan:<\/p>\n<ol>\n<li>Thu th\u1eadp d\u1eef li\u1ec7u<\/li>\n<\/ol>\n<p>Thu th\u1eadp d\u1eef li\u1ec7u gi\u00e1 l\u1ecbch s\u1eed (gi\u00e1 \u0111\u00f3ng c\u1eeda ng\u00e0y, v\u00e0 khi c\u1ea7n g\u1ed3m open\/high\/low). N\u00ean \u0111\u1ee7 d\u00e0i (v\u00e0i n\u0103m) \u0111\u1ec3 ph\u1ea3n \u00e1nh nhi\u1ec1u \u0111i\u1ec1u ki\u1ec7n th\u1ecb tr\u01b0\u1eddng.<\/p>\n<ol start=\"2\">\n<li>Chu\u1ea9n b\u1ecb d\u1eef li\u1ec7u<\/li>\n<\/ol>\n<p>L\u00e0m s\u1ea1ch v\u00e0 chu\u1ea9n h\u00f3a d\u1eef li\u1ec7u: x\u1eed l\u00fd thi\u1ebfu d\u1eef li\u1ec7u, \u0111i\u1ec1u ch\u1ec9nh split\/dividend, chuy\u1ec3n gi\u00e1 sang l\u1ee3i su\u1ea5t (returns). Ph\u00e2n t\u00edch t\u01b0\u01a1ng quan th\u01b0\u1eddng d\u00f9ng returns v\u00ec t\u00ednh d\u1eebng t\u1ed1t h\u01a1n.<\/p>\n<ol start=\"3\">\n<li>T\u00ednh l\u1ee3i su\u1ea5t<\/li>\n<\/ol>\n<p>T\u00ednh l\u1ee3i su\u1ea5t theo c\u00f4ng th\u1ee9c:<\/p>\n<p><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-7951\" src=\"https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/returns.png\" alt=\"T\u00ednh l\u1ee3i su\u1ea5t c\u1ee7a t\u00e0i s\u1ea3n\" width=\"602\" height=\"60\" srcset=\"https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/returns.png 602w, https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/returns-300x30.png 300w\" sizes=\"auto, (max-width: 602px) 100vw, 602px\" \/><\/p>\n<ol start=\"4\">\n<li>Ph\u00e2n t\u00edch t\u01b0\u01a1ng quan<\/li>\n<\/ol>\n<p>T\u00ednh h\u1ec7 s\u1ed1 t\u01b0\u01a1ng quan Pearson (\u03c1) trong kho\u1ea3ng -1 \u0111\u1ebfn 1:<br \/>\n1 = t\u01b0\u01a1ng quan d\u01b0\u01a1ng ho\u00e0n h\u1ea3o,<br \/>\n-1 = t\u01b0\u01a1ng quan \u00e2m ho\u00e0n h\u1ea3o,<br \/>\n0 = kh\u00f4ng c\u00f3 t\u01b0\u01a1ng quan tuy\u1ebfn t\u00ednh.<\/p>\n<ol start=\"5\">\n<li>Di\u1ec5n gi\u1ea3i k\u1ebft qu\u1ea3<\/li>\n<\/ol>\n<p>Gi\u00e1 tr\u1ecb d\u01b0\u01a1ng cao \u2192 t\u01b0\u01a1ng quan d\u01b0\u01a1ng m\u1ea1nh.<br \/>\nGi\u00e1 tr\u1ecb \u00e2m cao \u2192 t\u01b0\u01a1ng quan ngh\u1ecbch m\u1ea1nh.<br \/>\nG\u1ea7n 0 \u2192 t\u01b0\u01a1ng quan y\u1ebfu ho\u1eb7c kh\u00f4ng \u0111\u00e1ng k\u1ec3.<\/p>\n<ol start=\"6\">\n<li>Ki\u1ec3m \u0111\u1ecbnh \u00fd ngh\u0129a th\u1ed1ng k\u00ea<\/li>\n<\/ol>\n<p>Ki\u1ec3m tra xem t\u01b0\u01a1ng quan c\u00f3 \u00fd ngh\u0129a hay ch\u1ec9 do ng\u1eabu nhi\u00ean (gi\u1ea3 thuy\u1ebft H0: t\u01b0\u01a1ng quan = 0).<\/p>\n<ol start=\"7\">\n<li>Tr\u1ef1c quan h\u00f3a<\/li>\n<\/ol>\n<p>D\u00f9ng scatter plot v\u00e0 bi\u1ec3u \u0111\u1ed3 chu\u1ed7i th\u1eddi gian \u0111\u1ec3 quan s\u00e1t quan h\u1ec7.<\/p>\n<ol start=\"8\">\n<li>Theo d\u00f5i li\u00ean t\u1ee5c<\/li>\n<\/ol>\n<p>T\u01b0\u01a1ng quan thay \u0111\u1ed5i theo th\u1eddi gian, n\u00ean c\u1ea7n c\u1eadp nh\u1eadt \u0111\u1ecbnh k\u1ef3.<\/p>\n<ol start=\"9\">\n<li>T\u00edch h\u1ee3p v\u00e0o chi\u1ebfn l\u01b0\u1ee3c giao d\u1ecbch<\/li>\n<\/ol>\n<p>Sau khi x\u00e1c nh\u1eadn c\u1eb7p t\u01b0\u01a1ng quan, t\u00edch h\u1ee3p v\u00e0o pairs trading, \u0111a d\u1ea1ng h\u00f3a, ho\u1eb7c qu\u1ea3n tr\u1ecb r\u1ee7i ro.<\/p>\n<h2><strong>\u00c1p d\u1ee5ng Z-Score trong chi\u1ebfn l\u01b0\u1ee3c Pairs Trading<\/strong><\/h2>\n<p>Pairs trading l\u00e0 chi\u1ebfn l\u01b0\u1ee3c \u0111\u1ecbnh l\u01b0\u1ee3ng nh\u1eb1m khai th\u00e1c k\u00e9m hi\u1ec7u qu\u1ea3 gi\u00e1 gi\u1eefa c\u00e1c t\u00e0i s\u1ea3n li\u00ean quan. M\u1ed9t ph\u01b0\u01a1ng ph\u00e1p ph\u1ed5 bi\u1ebfn l\u00e0 Z-score, \u0111o l\u01b0\u1eddng m\u1ee9c \u0111\u1ed9 l\u1ec7ch c\u1ee7a m\u1ed9t gi\u00e1 tr\u1ecb so v\u1edbi trung b\u00ecnh l\u1ecbch s\u1eed theo \u0111\u01a1n v\u1ecb \u0111\u1ed9 l\u1ec7ch chu\u1ea9n.<\/p>\n<h3><strong>Kh\u00e1i ni\u1ec7m c\u01a1 b\u1ea3n v\u1ec1 Z-Score<\/strong><\/h3>\n<p>Z-score cho bi\u1ebft m\u1ed9t gi\u00e1 tr\u1ecb x c\u00e1ch trung b\u00ecnh c\u1ee7a t\u1eadp d\u1eef li\u1ec7u bao nhi\u00eau \u0111\u1ed9 l\u1ec7ch chu\u1ea9n. C\u00f4ng th\u1ee9c:<\/p>\n<p><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-7952\" src=\"https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/z-score.png\" alt=\"C\u00f4ng th\u1ee9c Z-score\" width=\"367\" height=\"198\" srcset=\"https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/z-score.png 367w, https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/z-score-300x162.png 300w\" sizes=\"auto, (max-width: 367px) 100vw, 367px\" \/><\/p>\n<h3><strong>\u1ee8ng d\u1ee5ng trong Pairs Trading<\/strong><\/h3>\n<p>Z-score gi\u00fap x\u00e1c \u0111\u1ecbnh khi t\u1ef7 l\u1ec7 gi\u00e1 c\u1ee7a m\u1ed9t c\u1eb7p t\u00e0i s\u1ea3n l\u1ec7ch xa trung b\u00ecnh l\u1ecbch s\u1eed v\u00e0 c\u00f3 kh\u1ea3 n\u0103ng quay v\u1ec1.<\/p>\n<p>C\u00e1c b\u01b0\u1edbc d\u00f9ng Z-index:<\/p>\n<ol>\n<li>Ch\u1ecdn c\u1eb7p t\u00e0i s\u1ea3n c\u00f3 xu h\u01b0\u1edbng di chuy\u1ec3n c\u00f9ng nhau (t\u01b0\u01a1ng quan\/\u0111\u1ed3ng li\u00ean k\u1ebft).<\/li>\n<li>T\u00ednh t\u1ef7 l\u1ec7 gi\u00e1, r\u1ed3i trung b\u00ecnh (\u03bc) v\u00e0 \u0111\u1ed9 l\u1ec7ch chu\u1ea9n (\u03c3) l\u1ecbch s\u1eed.<\/li>\n<li>T\u00ednh Z-score c\u1ee7a t\u1ef7 l\u1ec7 gi\u00e1 hi\u1ec7n t\u1ea1i li\u00ean t\u1ee5c d\u1ef1a tr\u00ean \u03bc v\u00e0 \u03c3.<\/li>\n<\/ol>\n<p><img loading=\"lazy\" decoding=\"async\" class=\"alignnone size-full wp-image-7953\" src=\"https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/curent-deviates-retio.png\" alt=\"Z-score c\u1ee7a t\u1ef7 l\u1ec7 hi\u1ec7n t\u1ea1i\" width=\"366\" height=\"96\" srcset=\"https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/curent-deviates-retio.png 366w, https:\/\/bjftradinggroup.com\/wp-content\/uploads\/2024\/04\/curent-deviates-retio-300x79.png 300w\" sizes=\"auto, (max-width: 366px) 100vw, 366px\" \/><\/p>\n<ol start=\"4\">\n<li>Th\u1ef1c thi giao d\u1ecbch:<\/li>\n<\/ol>\n<ul>\n<li>Long t\u00e0i s\u1ea3n y\u1ebfu \/ Short t\u00e0i s\u1ea3n m\u1ea1nh: n\u1ebfu Z-score \u00e2m l\u1edbn (v\u00ed d\u1ee5 &lt; -2), t\u1ef7 l\u1ec7 qu\u00e1 th\u1ea5p \u2192 mua t\u00e0i s\u1ea3n y\u1ebfu v\u00e0 b\u00e1n t\u00e0i s\u1ea3n m\u1ea1nh.<\/li>\n<li>Short t\u00e0i s\u1ea3n y\u1ebfu \/ Long t\u00e0i s\u1ea3n m\u1ea1nh: n\u1ebfu Z-score d\u01b0\u01a1ng l\u1edbn (v\u00ed d\u1ee5 &gt; +2), t\u1ef7 l\u1ec7 qu\u00e1 cao \u2192 b\u00e1n t\u00e0i s\u1ea3n y\u1ebfu v\u00e0 mua t\u00e0i s\u1ea3n m\u1ea1nh.<\/li>\n<\/ul>\n<ol start=\"5\">\n<li>Tho\u00e1t l\u1ec7nh: \u0111\u00f3ng v\u1ecb th\u1ebf khi Z-score tr\u1edf l\u1ea1i 0 (t\u1ef7 l\u1ec7 quay v\u1ec1 trung b\u00ecnh).<\/li>\n<\/ol>\n<h3><strong>T\u1ea1i sao d\u00f9ng Z-index trong Pairs Trading?<\/strong><\/h3>\n<p>Z-index chu\u1ea9n h\u00f3a m\u1ee9c \u0111\u1ed9 l\u1ec7ch gi\u00e1, gi\u00fap v\u00e0o\/ra l\u1ec7nh m\u1ed9t c\u00e1ch h\u1ec7 th\u1ed1ng v\u00e0 kh\u00e1ch quan. N\u00f3 l\u01b0\u1ee3ng h\u00f3a m\u1ee9c \u0111\u1ed9 \u201cb\u1ea5t th\u01b0\u1eddng\u201d c\u1ee7a t\u1ef7 l\u1ec7 hi\u1ec7n t\u1ea1i so v\u1edbi l\u1ecbch s\u1eed.<\/p>\n<p>D\u00f9 m\u1ea1nh m\u1ebd, ph\u01b0\u01a1ng ph\u00e1p n\u00e0y v\u1eabn c\u1ea7n qu\u1ea3n tr\u1ecb r\u1ee7i ro v\u00ec \u03bc v\u00e0 \u03c3 c\u00f3 th\u1ec3 thay \u0111\u1ed5i theo th\u1eddi gian, v\u00e0 gi\u1ea3 \u0111\u1ecbnh h\u1ed3i quy v\u1ec1 trung b\u00ecnh c\u00f3 th\u1ec3 kh\u00f4ng x\u1ea3y ra n\u1ebfu th\u1ecb tr\u01b0\u1eddng thay \u0111\u1ed5i c\u1ea5u tr\u00fac.<\/p>\n<p>&nbsp;<br \/>\n<\/p>","protected":false},"excerpt":{"rendered":"<p>Gi\u1edbi thi\u1ec7u Pairs trading (giao d\u1ecbch theo c\u1eb7p) l\u00e0 m\u1ed9t chi\u1ebfn l\u01b0\u1ee3c t\u00e0i ch\u00ednh nh\u1eb1m t\u1eadn d\u1ee5ng c\u00e1c m\u00f4 h\u00ecnh gi\u00e1 c\u00f3 th\u1ec3 d\u1ef1 \u0111o\u00e1n \u0111\u01b0\u1ee3c ho\u1eb7c nh\u1eefng \u0111i\u1ec3m k\u00e9m hi\u1ec7u qu\u1ea3 \u0111\u01b0\u1ee3c ph\u00e1t hi\u1ec7n th\u00f4ng qua ph\u00e2n t\u00edch th\u1ed1ng k\u00ea. \u00dd t\u01b0\u1edfng c\u1ed1t l\u00f5i l\u00e0 ki\u1ebfm l\u1ee3i nhu\u1eadn t\u1eeb hi\u1ec7n t\u01b0\u1ee3ng h\u1ed3i quy v\u1ec1 trung b\u00ecnh (mean reversion) c\u1ee7a gi\u00e1 t\u01b0\u01a1ng \u0111\u1ed1i gi\u1eefa hai c\u00f4ng c\u1ee5 v\u1ed1n c\u00f3 t\u01b0\u01a1ng quan l\u1ecbch s\u1eed. N\u00f3i \u0111\u01a1n&hellip;<\/p>\n","protected":false},"author":1,"featured_media":7955,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[53,221],"tags":[292,296,249,293],"class_list":["post-7948","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-arbitrage-software","category-forex-trading","tag-pair-trading","tag-pairs-trading","tag-statistical-arbitrage","tag-z-score"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v27.3 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title><\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/bjftradinggroup.com\/optimizing-pair-trading-using-the-z-index-technique\/\" \/>\n<meta property=\"og:locale\" content=\"vi_VN\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"[:en]Optimizing Pairs Trading Using the Z-Index Technique[:] - Forex &amp; Cryptocurrencies Arbitrage Software | BJF Trading Group Inc.\" \/>\n<meta property=\"og:description\" content=\"Gi\u1edbi thi\u1ec7u Pairs trading (giao d\u1ecbch theo c\u1eb7p) l\u00e0 m\u1ed9t chi\u1ebfn l\u01b0\u1ee3c t\u00e0i ch\u00ednh nh\u1eb1m t\u1eadn d\u1ee5ng c\u00e1c m\u00f4 h\u00ecnh gi\u00e1 c\u00f3 th\u1ec3 d\u1ef1 \u0111o\u00e1n \u0111\u01b0\u1ee3c ho\u1eb7c nh\u1eefng \u0111i\u1ec3m k\u00e9m hi\u1ec7u qu\u1ea3 \u0111\u01b0\u1ee3c ph\u00e1t hi\u1ec7n th\u00f4ng qua ph\u00e2n t\u00edch th\u1ed1ng k\u00ea. \u00dd t\u01b0\u1edfng c\u1ed1t l\u00f5i l\u00e0 ki\u1ebfm l\u1ee3i nhu\u1eadn t\u1eeb hi\u1ec7n t\u01b0\u1ee3ng h\u1ed3i quy v\u1ec1 trung b\u00ecnh (mean reversion) c\u1ee7a gi\u00e1 t\u01b0\u01a1ng \u0111\u1ed1i gi\u1eefa hai c\u00f4ng c\u1ee5 v\u1ed1n c\u00f3 t\u01b0\u01a1ng quan l\u1ecbch s\u1eed. 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