本文選題：非線性動態(tài)聯(lián)系　切入點：區(qū)制轉(zhuǎn)換模型　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：本文以滬深300現(xiàn)貨指數(shù)與期貨指數(shù)1分鐘、3分鐘、5分鐘的交易數(shù)據(jù)為研究對象,利用持有成本模型、自激勵門限自回歸模型,門限誤差修正模型嘗試估計滬深300指數(shù)回報與期貨回報的動態(tài)非線性聯(lián)系。 實證研究結(jié)果表明,自激勵門限自回歸模型能較好地描述滬深300指數(shù)定價偏移的變化過程。滬深300指數(shù)定價偏移的變化過程是非線性的,且依賴于是否有套利機會出現(xiàn)�；畹木祷貜头仍谟刑桌麢C會的區(qū)間要大于無套利機會的區(qū)間,并且這一現(xiàn)象不會隨著時間尺度的放大而消失。 而門限誤差修正模型能較好地描述滬深300現(xiàn)貨指數(shù)與期貨指數(shù)的動態(tài)非線性聯(lián)系。這種動態(tài)非線性聯(lián)系與金融市場套利有很重要的聯(lián)系,但是僅僅在時間間隔為1分鐘時,我們能觀察到股指期貨回報會對價格偏移作出明顯的反應,同時股指現(xiàn)貨回報會對股指期貨回報的變化作出迅速地調(diào)整,而當時間尺度放大時這些現(xiàn)象會消失,這可能表明滬深300指數(shù)的套利機會會在3分鐘之內(nèi)消失。
[Abstract]:Based on the trading data of Shanghai and Shenzhen 300 spot index and futures index in one minute or three minutes or five minutes, this paper makes use of the holding cost model and the self-incentive threshold autoregressive model. The threshold error correction model attempts to estimate the dynamic nonlinear relationship between Shanghai and Shenzhen 300 index returns and futures returns. The empirical results show that the self-incentive threshold autoregressive model can well describe the change process of Shanghai and Shenzhen 300 index pricing migration, and the change process of Shanghai and Shenzhen 300 index pricing migration is nonlinear. The mean return amplitude of the base difference is larger than that without the arbitrage opportunity, and this phenomenon will not disappear with the time scale amplification. The threshold error correction model can better describe the dynamic nonlinear relationship between Shanghai and Shenzhen 300 spot index and futures index. This dynamic nonlinear relationship is very important to financial market arbitrage, but only when the time interval is 1 minute. We can observe that the return of stock index futures will react obviously to the price deviation, and the spot return of stock index will adjust the change of the return of stock index futures quickly, and these phenomena will disappear when the time scale is enlarged. This may indicate that the Shanghai and Shenzhen 300 index arbitrage opportunities will disappear in three minutes.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F724.5;F832.51

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