本文選題：IF + 股指期貨��； 參考：《北京郵電大學(xué)》2012年碩士論文

【摘要】：隨著國內(nèi)改革開放,我國的金融體系得到了長足發(fā)展,涌現(xiàn)出一批又一批的金融人才,希望在金融市場上掘得一桶金。自92年我國建立期貨市場以來,培育了無數(shù)投資高手、締造了無數(shù)商業(yè)神話的同時,也不乏因為投資失敗而傾家蕩產(chǎn)的失敗者。一個個的失敗案例驚醒了投資業(yè)的高手,紛紛開始總結(jié)自己在實際工作中的的經(jīng)驗教訓(xùn),投入了對交易系統(tǒng)的研究工作。 本文通過對現(xiàn)階段我國股指期貨市場和程序化交易的方法與方向的研究,列舉了主要有代表性的投資理念與交易指標(biāo),并按照需要對我們自己常用的一種自定義投資指標(biāo)進行評估,了解其適用環(huán)境,制定適合現(xiàn)實環(huán)境的使用方法,分析其存在的不足,最后運用實踐經(jīng)驗和相關(guān)理論提出解決改進的方法與方向。 本文的主要內(nèi)容結(jié)構(gòu)由以下六部分組成：第一章緒論,主要介紹股指期貨、程序化交易相關(guān)的基本概念和研究背景。第二章列舉股指期貨交易系統(tǒng)和策略相關(guān)的分析理論、介紹了國內(nèi)外相關(guān)程序化交易系統(tǒng)。第三章介紹我們應(yīng)用于股指期貨市場的交易系統(tǒng)的設(shè)計思想和編制方法。第四章根據(jù)對滬深300指數(shù)歷史數(shù)據(jù)的評估測試和實際股指期貨市場數(shù)據(jù)試用,找出系統(tǒng)的適用范圍。第五章通過對第四章提供數(shù)據(jù)的分析,闡述在特定條件下發(fā)現(xiàn)的系統(tǒng)不足,提出適合系統(tǒng)正確應(yīng)用的交易策略,并提出預(yù)期的改進方法。第六章總結(jié)全文,展望今后的交易系統(tǒng)與策略的發(fā)展方向。
[Abstract]:With the reform and opening up in China, the financial system of our country has been greatly developed, a number of financial talents have emerged, hoping to dig up a bucket of gold in the financial market. Since the establishment of futures market in 1992, China has cultivated numerous investment experts, created countless commercial myths, but also failed because of the failure of the losers. One by one failed cases awakened the master of the investment industry, began to sum up their own experience and lessons in the actual work, and put into the research of trading system. Based on the research on the methods and directions of stock index futures market and programmed trading in China at present, this paper lists the main representative investment ideas and trading indicators. And according to the needs of our own commonly used one of the custom-defined investment indicators to evaluate, understand its applicable environment, develop suitable for the actual environment of the use of methods, analysis of its shortcomings, Finally, the method and direction of improvement are put forward by using practical experience and relevant theories. The main content structure of this paper is composed of the following six parts: the first chapter is introduction, which mainly introduces the stock index futures, the basic concepts and research background of procedural trading. The second chapter lists the stock index futures trading system and the strategy related analysis theory, introduces the domestic and foreign related program trading system. The third chapter introduces the design idea and compiling method of trading system applied in stock index futures market. The fourth chapter finds out the application scope of the system according to the evaluation and test of the historical data of Shanghai and Shenzhen 300 index and the trial of actual stock index futures market data. In chapter 5, by analyzing the data provided in the fourth chapter, the paper expounds the shortage of the system found under the specific conditions, puts forward the transaction strategy suitable for the correct application of the system, and puts forward the expected improvement methods. Chapter six summarizes the full text and looks forward to the future development of trading system and strategy.
【學(xué)位授予單位】：北京郵電大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：2014074