本文選題：高頻數(shù)據(jù)　切入點(diǎn)：國(guó)債期貨　出處：《山西財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：2015年3月20日,10年期國(guó)債期貨在中國(guó)金融期貨交易所掛牌上市,我國(guó)國(guó)債期貨市場(chǎng)實(shí)現(xiàn)了從單品種到多品種的突破。隨著10年期國(guó)債期貨的上市以及國(guó)債期貨市場(chǎng)流動(dòng)性的不斷提高,國(guó)債期貨跨品種套利交易成為可能。由于10年期國(guó)債期貨推出不久,鮮有學(xué)者對(duì)國(guó)債期貨跨品種套利進(jìn)行研究,投資者進(jìn)行國(guó)債期貨跨品種套利時(shí)能參考的依據(jù)不多,行之有效的國(guó)債期貨交易策略也亟待豐富。因此,本文將對(duì)國(guó)債期貨跨品種套利的理論依據(jù)和交易策略進(jìn)行研究,力求為投資者提供有效的建議以及促進(jìn)國(guó)債期貨市場(chǎng)跨品種交易的發(fā)展。本文以中國(guó)金融期貨交易所的5年期和10年期國(guó)債期貨合約價(jià)格的高頻數(shù)據(jù)為研究對(duì)象,分析合約之間的價(jià)格關(guān)系,采用門限自回歸模型來確定無(wú)套利區(qū)間,并以此制定套利策略并分析套利效果。主要采用理論分析和實(shí)證研究相結(jié)合的研究方法進(jìn)行研究。利用EXCEL、EVIEWS、R軟件和MATLAB等計(jì)量工具來實(shí)現(xiàn)實(shí)證研究和模擬套利交易。首先選取5年期和10年期國(guó)債期貨合約的5分鐘高頻數(shù)據(jù)進(jìn)行價(jià)差分析和平穩(wěn)性檢驗(yàn)。然后基于門限自回歸模型,采用合適的檢驗(yàn)門限行為的方法,先確定滯后階數(shù),再參考sup-Wald檢驗(yàn)方法進(jìn)行門限行為檢驗(yàn);在參數(shù)估計(jì)方面,運(yùn)用的格子搜索法估計(jì)門限自回歸模型的門限值,得到無(wú)套利區(qū)間后,在此基礎(chǔ)上設(shè)定套利交易信號(hào)構(gòu)建套利策略。針對(duì)套利策略進(jìn)行套利效果分析,計(jì)算其在樣本內(nèi)外數(shù)據(jù)中的收益表現(xiàn),檢驗(yàn)套利策略在國(guó)債期貨跨品種套利交易中的有效性。研究結(jié)果表明,5年期國(guó)債期貨和10年期國(guó)債期貨價(jià)格數(shù)據(jù)之間既存在長(zhǎng)期均衡關(guān)系,又存在門限協(xié)整行為,然后估計(jì)出門限自回歸模型的兩個(gè)門限值作為套利交易的信號(hào),利用估計(jì)出的門限值所對(duì)應(yīng)套利策略對(duì)樣本內(nèi)數(shù)據(jù)進(jìn)行套利得到的效果良好,成功率達(dá)到69%,將既有套利策略運(yùn)用在樣本外數(shù)據(jù)進(jìn)行套利的效果雖沒有樣本內(nèi)的效果好,但是成功率也達(dá)到了61%,說明了所構(gòu)建策略的有效性。
[Abstract]:In March 20th 2015, 10-year Treasury bonds futures were listed on the China Financial Futures Exchange. China's treasury bond futures market has achieved a breakthrough from single variety to multiple varieties. With the listing of 10-year Treasury bond futures and the increasing liquidity of the treasury bond futures market, Cross-variety arbitrage trading of treasury bonds futures is possible. Since not long after the introduction of 10-year Treasury bond futures, few scholars have carried out research on cross-variety arbitrage of treasury bonds futures, and investors can not refer to the basis for cross-variety arbitrage of treasury bonds futures. Therefore, this paper will study the theoretical basis and trading strategy of cross-variety arbitrage of treasury bond futures. In order to provide effective advice to investors and to promote the development of cross-variety trading in treasury bond futures market, this paper studies the high frequency data of 5-year and 10-year bond futures prices in China Financial Futures Exchange. The price relationship between contracts is analyzed and the threshold autoregressive model is used to determine the no-arbitrage interval. This paper makes a arbitrage strategy and analyzes the effect of arbitrage. It mainly adopts the research method of combining theoretical analysis with empirical research. It uses Excel EVIEWSR software and MATLAB to realize empirical research and simulate arbitrage trading. Firstly, the 5-minute high frequency data of 5-year and 10-year Treasury futures contracts are selected for price difference analysis and stability test, and then based on threshold autoregressive model, In the parameter estimation, the lattice search method is used to estimate the threshold value of the threshold autoregressive model, and the delay order is first determined by the appropriate method of testing threshold behavior, and then the threshold behavior is tested by referring to the sup-Wald test method, and the lattice search method is used to estimate the threshold value of the threshold autoregressive model. After obtaining the no-arbitrage interval, we set up the arbitrage trading signal to construct the arbitrage strategy, and analyze the arbitrage effect of the arbitrage strategy, and calculate the performance of the arbitrage in the data inside and outside the sample. The results show that there is a long-term equilibrium relationship and threshold cointegration between the price data of 5-year Treasury bond futures and 10-year treasury bonds futures. Then the two threshold values of the threshold autoregressive model are estimated as the signals of arbitrage trading. The arbitrage strategy corresponding to the estimated threshold value is used to arbitrage the data in the sample and the result is good. The success rate is 69%. The effect of applying the existing arbitrage strategy to the data outside the sample is not as good as that in the sample, but the success rate also reaches 61%, which shows the effectiveness of the strategy.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F812.5;F724.5

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 朱國(guó)華;劉凡毅;;期貨市場(chǎng)對(duì)實(shí)體經(jīng)濟(jì)價(jià)格體系的價(jià)格修復(fù)功能研究——基于中國(guó)商品期貨市場(chǎng)的實(shí)證分析[J];武漢理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2015年06期

2 梁建峰;徐小婷;;中國(guó)國(guó)債期貨套利機(jī)會(huì)實(shí)證研究[J];中國(guó)管理科學(xué);2015年S1期

3 鐘越;;歐元套息交易“盛宴”[J];中國(guó)外匯;2015年16期

4 方宇翔;鄭旭;;基于我國(guó)重啟國(guó)債期貨數(shù)據(jù)的套利策略研究[J];價(jià)格理論與實(shí)踐;2014年11期

5 趙成珍;宋錦玲;;跨品種期貨套利交易最優(yōu)保證金比率設(shè)計(jì)——基于Copula函數(shù)及極值理論的研究[J];技術(shù)經(jīng)濟(jì)與管理研究;2014年12期

6 扈文秀;牛靜;李芳;牛潔;;基于統(tǒng)計(jì)套利模型的商品指數(shù)期貨雙跨套利方案研究[J];管理評(píng)論;2013年09期

7 汪媛;孫建明;;銅鋁期貨跨商品套利分析與研究[J];湖北經(jīng)濟(jì)學(xué)院學(xué)報(bào)(人文社會(huì)科學(xué)版);2013年01期

8 葛翔宇;吳洋;周艷麗;;門限協(xié)整套利:理論與實(shí)證研究[J];統(tǒng)計(jì)研究;2012年03期

9 李新建;吳春梅;黃敏學(xué);王銳;閆振宇;;我國(guó)油脂類期貨價(jià)格之間的聯(lián)動(dòng)分析[J];華中農(nóng)業(yè)大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2011年02期

10 李亞芹;于逍遙;黃毅敏;;商品期貨跨品種套利實(shí)證研究[J];中國(guó)商界(上);2010年04期

相關(guān)會(huì)議論文 前1條

1 吳洋;葛翔宇;;基于門限協(xié)整理論的股指期貨跨市場(chǎng)套利研究[A];21世紀(jì)數(shù)量經(jīng)濟(jì)學(xué)（第12卷）[C];2011年

相關(guān)碩士學(xué)位論文 前3條

1 孔祥哲;上證50與滬深300股指期貨跨品種套利策略研究[D];山西財(cái)經(jīng)大學(xué);2016年

2 馬真;我國(guó)股指期貨跨品種套利量化模型研究[D];蘇州大學(xué);2016年

3 殷曉梅;商品期貨跨品種套利交易模型及其實(shí)證研究[D];南京航空航天大學(xué);2009年

，

本文編號(hào)：1642129