本文選題：股指期貨 + 跨期套利�。� 參考：《上海交通大學(xué)》2012年碩士論文

【摘要】：本文分析了滬深300股指期貨跨期套利的原理及方法，利用2010年6月至2012年1月期間，滬深300股指期貨當(dāng)月合約及下月合約的日內(nèi)交易數(shù)據(jù)，以15分鐘為一個(gè)交易時(shí)段，采用跨期套利的方法進(jìn)行了實(shí)證檢驗(yàn)。 實(shí)證檢驗(yàn)采用移動平均法，取前20個(gè)交易時(shí)段的收盤價(jià)均值為合理價(jià)差，開倉價(jià)位為偏離合理價(jià)差2個(gè)標(biāo)準(zhǔn)差，平倉價(jià)位為回歸到距離合理價(jià)差1個(gè)標(biāo)準(zhǔn)差。在手續(xù)費(fèi)為0.007%的情況下，，獲得了28.22%的年化收益率，保守估計(jì)年收益率可達(dá)20%。平均月收益率為2.09%，20個(gè)月僅有1個(gè)月出現(xiàn)了沒有收益的情況，幾乎無虧損。 研究表明，滬深300股指期貨跨期套利僅僅適合于資金量在幾千萬元規(guī)模的中小型投資者。若進(jìn)入市場的資金超過10億元人民幣，必然會顯著降低套利交易的收益。
[Abstract]:This paper analyzes the principle and method of the intertemporal arbitrage of Shanghai and Shenzhen 300 stock index futures, using the intraday trading data of the current month contract and next month contract of Shanghai and Shenzhen 300 stock index futures from June 2010 to January 2012, taking 15 minutes as a trading period. The method of intertemporal arbitrage is used to carry out an empirical test. The empirical test adopts moving average method. The average closing price of the first 20 trading periods is reasonable price difference, opening price is 2 standard deviation from reasonable price difference, and closing position price is regression to reasonable price difference of 1 standard deviation. In the case of a service fee of 0. 007%, an annualized yield of 28. 22% was obtained, compared with a conservative estimate of 20. 5% per annum. The average monthly yield is 2.09, 20 months only a month there is no income, almost no loss. The research shows that the Shanghai and Shenzhen 300 stock index futures interterm arbitrage is only suitable for small and medium-sized investors with tens of millions of yuan of capital. If entering the market more than 1 billion yuan of capital, will certainly significantly reduce the earnings of arbitrage transactions.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 李傳峰;;滬深300股指期貨期現(xiàn)套利模型及實(shí)證分析[J];廣東金融學(xué)院學(xué)報(bào);2011年01期

2 李世偉;;基于協(xié)整理論的滬深300股指期貨跨期套利研究[J];中國計(jì)量學(xué)院學(xué)報(bào);2011年02期

本文編號：1860543