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  本文關(guān)鍵詞：螺紋鋼期貨市場價格發(fā)現(xiàn)功能與量化交易策略實證　出處：《江西財經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 價格發(fā)現(xiàn) 量化交易 向量自回歸模型 指標(biāo)組合

【摘要】：螺紋鋼期貨自2009年3月27日在上海期貨交易所正式上市以來,倍受市場投資者青睞。然而,相對國內(nèi)成熟期貨品種(農(nóng)產(chǎn)品期貨,銅期貨),螺紋鋼期貨的上市時間短,仍處于初期發(fā)展階段。因此,研究其期貨市場的功能能否有效地發(fā)揮具有現(xiàn)實意義。 期貨市場的基本功能分為兩大類：套期保值功能和價格發(fā)現(xiàn)功能。價格發(fā)現(xiàn)功能是期貨市場存在和發(fā)展的基礎(chǔ),是現(xiàn)貨市場引導(dǎo)期貨市場的基本前提。期貨市場價格發(fā)現(xiàn)功能發(fā)揮的有效程度可以用來評估期貨市場的運行效率。同時,我國在繼菜籽油、棕櫚油等商品期貨上市之后推出金屬期貨,加強了期貨市場和證券市場以及現(xiàn)貨市場的互動。投資者既可以通過期貨市場、證券市場和現(xiàn)貨市場進行套期保值,也可以在期貨市場進行風(fēng)險投機。期貨市場的迅速發(fā)展以及金融衍生品市場的擴張為量化交易提供了強而有力的市場基礎(chǔ)。在期貨市場利用量化交易將會是市場投資者,尤其是機構(gòu)投資者的一個重要發(fā)展方向。 本文實證研究分為兩部分：第一部分,研究螺紋鋼期貨價格發(fā)現(xiàn)功能的有效性,檢驗我國上海期貨交易所的螺紋鋼期貨市場價格發(fā)現(xiàn)功能；第二部分,建立螺紋鋼期貨5分鐘數(shù)據(jù)的量化交易模型,應(yīng)用Matlab仿真功能進行模型仿真分析,尋找最優(yōu)的量化交易策略。 其中,螺紋鋼期貨市場價格發(fā)現(xiàn)功能實證部分采用的研究方法包括：ADF單位根檢驗、向量自回歸模型、協(xié)整檢驗、向量誤差修正模型、EG兩步法檢驗、格蘭杰因果關(guān)系檢驗以及方差分解；實證工具為Eviews軟件。選取的數(shù)據(jù)為螺紋鋼期貨每日收盤價數(shù)據(jù),樣本區(qū)間去掉螺紋鋼上市后的五個月,從2009年9月1日至2014年3月10日共1056組數(shù)據(jù)。實證結(jié)果表明：(1)螺紋鋼期貨價格和現(xiàn)貨價格是一階單整的非平穩(wěn)序列；(2)螺紋鋼期貨價格和螺紋鋼現(xiàn)貨價格存在協(xié)整關(guān)系,即長期均衡關(guān)系；(3)螺紋鋼期貨價格和現(xiàn)貨價格存在雙向引導(dǎo)關(guān)系,但期貨市場比現(xiàn)貨市場更具有信息優(yōu)勢；(4)期貨價格處于主導(dǎo)地位,但其引導(dǎo)作用發(fā)揮力度不強,市場有待繼續(xù)完善。 量化交易采取短線交易模式。短線交易對時間沒有明確定義,可以是幾天、幾小時或幾分鐘。本文限定為5分鐘的短線交易。樣本數(shù)據(jù)從2014年1月27日9：00到2014年3月11日15：00。實證采用的研究方法：K線分析技術(shù)法和技術(shù)指標(biāo)法。技術(shù)指標(biāo)法包含趨勢型技術(shù)指標(biāo)MACD和MA以及震蕩型技術(shù)指標(biāo)KDJ和RSI；實證使用工具為Matlab軟件。策略設(shè)計思路分兩步：第一步,雙指標(biāo)組合策略設(shè)計。對每一個指標(biāo)的不同參數(shù)進行組合尋找最優(yōu)參數(shù)組,例如,移動平均線MA有五日均線、十日均線、十五日均線等等；之后,對不同周期均線進行兩兩組合,比較各組合的盈利率、贏利情況等確定最佳參數(shù)。第二步,四指標(biāo)組合策略設(shè)計。將第一步得到的最優(yōu)參數(shù)組分別設(shè)定為各指標(biāo)的默認(rèn)參數(shù),并對修改后的指標(biāo)進行共振疊加操作。交易策略結(jié)果表明：指標(biāo)組合的資金利用率以及資金回報率都要高于單個指標(biāo)單獨使用,且四指標(biāo)組合策略在保持高盈利率的同時,能降低最大盈利率和最大虧損率,使得收益風(fēng)險比率保持較高水平。
[Abstract]:Rebar futures since March 27, 2009 officially listed on the Shanghai futures exchange by market investors. However, the relatively mature domestic futures (agricultural futures, futures), steel futures listed in short time, is still in the early stages of development. Therefore, the study on the function of the futures market can effectively play is of practical significance.
The basic function of futures market is divided into two categories: the discovery function of hedging and price. The price discovery function is the basis for the existence and development of the futures market, the spot market is the basic premise to guide the futures market. The futures market price discovery effectiveness function can be used to evaluate the efficiency of the futures market. At the same time, China in the rapeseed oil, palm oil and other commodity futures market after the launch of metal futures, strengthen the futures market and stock market and spot market interaction. Investors can through the futures market, the stock market and spot market hedging can also risk speculation in the futures market. The market provides a strong foundation for the rapid development of the futures market and the expansion of the financial derivatives market for quantitative trading in the futures market. Using quantitative trading will be market investors, especially the machine An important direction for the development of investors.
This paper is divided into two parts: the first part, study on the rebar futures price discovery function of the validity test, the steel futures market price in China Shanghai futures exchange discovery; the second part quantitative trading model of steel futures 5 minutes of data, using Matlab simulation function model simulation analysis for quantitative trading the optimal strategy.
Among them, the steel futures market price discovery function includes study approaches: ADF unit root test, VAR model, cointegration test, vector error correction model, EG two step test, Grainger causality test and variance decomposition; empirical tool for Eviews software. The selected data for rebar futures daily the closing price data, the sample interval removed five months after the listing of thread steel, from September 1, 2009 to March 2014 10 a total of 1056 sets of data. The empirical results show that: (1) steel futures prices and spot prices is a single whole non-stationary sequence; (2) there is a cointegration relationship and steel rebar futures prices the spot price, namely the long-term equilibrium relationship; (3) there is a bi-directional leading relationship steel futures prices and spot prices, but the futures market has more advantages than the spot market information; (4) futures price is the main To guide the position, but its guiding role is not strong, the market needs to be continued to improve.
Quantitative trading to take short-term trading patterns. Short-term trading does not have a clear definition on time, can be a few days, a few hours or minutes. This paper is limited to 5 minutes of short-term trading. Methods from January 27, 2014 to March 11, 2014 by the 9:00 15:00. empirical sample data: K-line analysis technique method and technical index method. Technology index contains the trend type MACD and MA technical indicators and the shock type technical index of KDJ and RSI; the use of empirical tools for Matlab software. The strategy design is divided into two steps: the first step, two index strategy design. Combined to find the optimal parameters for different array parameters for each of the parameters such as the moving average MA five day moving average ten, on average, fifteen day moving average and so on; after 22 combinations in different period average, compared with each combination of profit rate, profit and determine the optimal parameters. The second step, four index The combination strategy design. The optimal parameters were obtained by the first step were set as the default parameters of each index, and resonance overlay operation on the revised index. The results show that the use of funds trading strategy index combination ratio and capital return rate is higher than the single indicator used alone, and the four index combination strategy to maintain high profit the interest rate at the same time, can reduce the maximum profit rate and the maximum loss rate, the income risk ratio remained at a high level.

【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F724.5

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