本文關(guān)鍵詞： 交易策略 股指期貨 計(jì)算實(shí)驗(yàn)金融 評(píng)測(cè)體系　出處：《天津大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：2010年4月16日，我國(guó)滬深300股指期貨合約正式上市交易，標(biāo)志著我國(guó)股票市場(chǎng)與股指期貨市場(chǎng)并存的跨市場(chǎng)結(jié)構(gòu)初步形成，推動(dòng)了資本市場(chǎng)的多元化變革。隨著股指期貨的推出，市場(chǎng)中的投資品種和交易策略增多，分析研究不同交易策略的優(yōu)劣，既能為投資者提供投資決策的依據(jù)，也能為監(jiān)管機(jī)構(gòu)提供監(jiān)督管理的參考，具有很好的現(xiàn)實(shí)意義。 本文采用新興的計(jì)算實(shí)驗(yàn)金融方法，使用融合股票和股指期貨市場(chǎng)的跨市場(chǎng)計(jì)算實(shí)驗(yàn)金融平臺(tái)，進(jìn)行仿真交易實(shí)驗(yàn)，獲得5秒鐘高頻交易數(shù)據(jù)，分析市場(chǎng)中價(jià)值投資、技術(shù)交易、流動(dòng)性交易和套利交易這四類(lèi)交易策略的收益、風(fēng)險(xiǎn)、資本占用和沖擊成本，構(gòu)建股指期貨交易策略評(píng)測(cè)的體系框架。 相比于之前的研究，本文在研究方法上采取了新興的計(jì)算實(shí)驗(yàn)金融方法，在研究?jī)?nèi)容上不只是關(guān)注單一策略的盈利能力，而是綜合考量多種交易策略的各個(gè)方面，構(gòu)建股指期貨交易策略評(píng)測(cè)的體系框架，具有一定的創(chuàng)新性。 研究發(fā)現(xiàn)，價(jià)值投資各方面表現(xiàn)良好，技術(shù)交易的風(fēng)險(xiǎn)較大，套利交易的資本占用量和沖擊成本較大，，噪音交易者的財(cái)富幾乎全部損失。所以，投資者應(yīng)該充分分析市場(chǎng)信息，完善學(xué)習(xí)和預(yù)測(cè)機(jī)制，結(jié)合自身的情況，尋求收益和風(fēng)險(xiǎn)之間的平衡。監(jiān)管者要加強(qiáng)對(duì)投資者的教育，減少市場(chǎng)中的噪音交易者，避免投資者因?yàn)槊つ客顿Y而承受巨大的損失，保證市場(chǎng)的良性運(yùn)作。
[Abstract]:In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures contracts were officially listed and traded, marking the initial formation of the cross-market structure of the coexistence of the stock market and the stock index futures market in China. With the introduction of stock index futures, the number of investment varieties and trading strategies in the market has increased. The analysis and study of the advantages and disadvantages of different trading strategies can provide investors with the basis for investment decisions. Also can provide supervision and management for the regulatory body reference, has a good practical significance. In this paper, a new computational experimental financial method is adopted, and a cross-market computing experimental financial platform combining stock and stock index futures markets is used to carry out simulation trading experiments to obtain 5-second high-frequency trading data, and to analyze the value investment in the market. Technology trading, liquidity trading and arbitrage trading are the four types of trading strategies of income, risk, capital occupation and impact costs, to build the stock index futures trading strategy evaluation system framework. Compared with the previous research, this paper adopts a new computational experimental financial method in the research method. In the research content, it not only pays attention to the profitability of a single strategy, but also comprehensively considers all aspects of various trading strategies. It is innovative to construct the system framework of stock index futures trading strategy evaluation. The study found that the value investment performed well in all aspects, the risk of technology trading was higher, the amount of capital and impact cost of arbitrage trade was larger, and the wealth of noise traders was almost all lost. Investors should fully analyze market information, improve learning and forecasting mechanisms, and combine their own situation to find a balance between returns and risks. Regulators should strengthen the education of investors and reduce noise traders in the market. Avoid investors because of blind investment and bear huge losses, to ensure the sound operation of the market.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 任立明;滬深300300股指期貨價(jià)差交易策略[D];山西財(cái)經(jīng)大學(xué);2015年

本文編號(hào)：1496918