本文選題：股指期貨 + 可控損失　； 參考：《華南理工大學(xué)》2013年碩士論文

【摘要】：我國滬深300股指期貨自推出后近三年來，市場逐漸成熟，無風(fēng)險套利機會與利潤空間已變得十分狹窄。在此背景下，本文提出了可控損失的股指期貨套利策略新模式，建立了較為完整的一套股指期貨套利量化模型，并運用期現(xiàn)貨市場高頻數(shù)據(jù)進行了嚴謹?shù)膶嵶C分析，為套利者在成熟市場上運用該新的交易模式提供了初步的理論框架。 首先,本文以期現(xiàn)套利為研究對象，用股指期貨當月連續(xù)合約和滬深300指數(shù)1分鐘數(shù)據(jù)對股指期貨自運行以來的32個合約進行了分析。結(jié)論表明，股指期貨推出當年存在大量期現(xiàn)套利機會且收益可觀。但此后兩年，無風(fēng)險套利機會已大為減少，收益顯著降低，期現(xiàn)套利不再是良好投資選擇。 在此現(xiàn)實條件下，本文提出了可控損失的股指期貨套利新模式并對其主要內(nèi)涵進行了詳細闡述。第一，，模型允許套利者在不能確保不虧損的點位進場開倉，通過優(yōu)化平倉策略以使夏普比率最大化。第二，不同的進場點位下套利者交易最大損失是不同的，但它是可控的，可以事先計算最大可能虧損值。每一個進場點位就會有其唯一對應(yīng)的交易最大損失和最大夏普比率，該夏普比率與交易最大損失構(gòu)成了模型交易策略。第三，對模型下所有有效交易策略進行組合就可以得到模型投資組合策略及有效邊界，以供具有不同風(fēng)險偏好的套利者決策。 隨后，本文依據(jù)金融時間序列理論對該模型進行了數(shù)理論證。本文分別假定資產(chǎn)或資產(chǎn)收益率序列滿足白噪聲過程、單位根過程，ARMA模型、條件異方差模型以及隨機波動模型，對模型下的開平倉信號出現(xiàn)概率進行了數(shù)理分析與計算，討論了不同進場策略下的交易最大損失、最大夏普比率、投資有效邊界，保證了模型的理論嚴謹性。 最后，本文對模型進行了歷史數(shù)據(jù)回測。結(jié)果表明，套利者只需在較低的交易最大風(fēng)險下就可獲得可觀的投資收益。因此，模型有相當?shù)膽?yīng)用價值，為套利者在成熟市場條件下提供了新的選擇。
[Abstract]:Since the launch of CSI 300 stock index futures in recent three years, the market has gradually matured, and risk-free arbitrage opportunities and profit margins have become very narrow. Under this background, this paper puts forward a new arbitrage strategy model of stock index futures with controllable loss, establishes a complete set of quantitative model of stock index futures arbitrage, and makes a rigorous empirical analysis using high-frequency data of spot market in the future. It provides a preliminary theoretical framework for arbitrage to use the new trading model in mature markets. Firstly, with the aim of arbitrage, this paper analyzes 32 contracts of stock index futures since its operation by using the continuous contract of stock index futures that month and the 1-minute data of Shanghai and Shenzhen 300 index. The conclusion shows that there are a lot of arbitrage opportunities and considerable returns in the year of stock index futures launch. But over the next two years, risk-free arbitrage opportunities have been significantly reduced, earnings significantly reduced, and current arbitrage is no longer a good investment option. Under this realistic condition, this paper puts forward a new arbitrage model of stock index futures with controllable loss and expounds its main connotation in detail. First, the model allows arbitrage to open at points where no loss can be ensured, and optimizes the liquidation strategy to maximize Sharp ratio. Second, the maximum loss of arbitrage under different entry points is different, but it is controllable and can calculate the maximum possible loss in advance. Each entry point has its unique corresponding maximum loss and maximum Sharp ratio, which constitutes the model trading strategy. Thirdly, the portfolio strategy and the efficient boundary can be obtained by combining all the effective trading strategies under the model for arbitrageurs with different risk preferences. Then, according to the theory of financial time series, this paper makes mathematical proof of the model. In this paper, assuming that the asset or asset return sequence satisfies the white noise process, the unit root process ARMA model, the conditional heteroscedasticity model and the stochastic volatility model, the probability of the open position signal under the model is numerically analyzed and calculated. The maximum transaction loss, maximum Sharpe ratio and investment efficient boundary under different approach strategies are discussed, and the theoretical rigor of the model is ensured. Finally, the historical data of the model are measured back in this paper. The results show that the arbitrage can gain considerable investment returns only at the lowest maximum risk of the transaction. Therefore, the model has considerable application value and provides a new choice for arbitrage under mature market conditions.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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