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股指期貨期現(xiàn)套利中的現(xiàn)貨構(gòu)建和實證研究.pdf文檔全文免費閱讀、在線看

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  本文關(guān)鍵詞:股指期貨期現(xiàn)套利中的現(xiàn)貨構(gòu)建與實證研究,由筆耕文化傳播整理發(fā)布。


股指期貨期現(xiàn)套利中的現(xiàn)貨構(gòu)建與實證研究 A ResearchofStockonhand and Demonstration SetupArbitrage Abstract and of business theestablishment Followingby developmentglobal,international moreandmore role.Asbrandnew business environment,securities important product, plays researchofStock Futuresattractattention.Thisarticledoesademonstration StorckIndex big IndexFutures’listmodeland price arbitrage. has4kinds:Across a of arbitrage,Acrossarbitrage,Acrosstype Arbitrage city period end now expectarbitrage. arbitrage investmentmixturebe咐een now isthe whichsimulate Expectarbitragearbitragetype and isthe to indomesticstock StockIndexFuturesStockon hand,thisapttypearbitrage to essentialofarbitrationresearchisto how farthe market.The study priceproperly.So from iscostof otheris researchoffist modelis twosides,one model,the price CalTy ofstockindexfutures theformerismoreuniversal.Actual theory,and price always anticipate fromit’snominal costof modelisbasedon market departure price,becauseCalTy perfect the of differenceiscalled whether environment,the arbitrage mispricing.So opportunity to and lead ornotandit’s isrelated frequencyrange.To existing space mispricing’s tomarket’s haveso mainisbecausethe tomodeldue reasons,the warp mispricingmany non-perfect. articleisbaseoilcost thefactors conclude This ofcarrymodel,,analyzeofmispricing,to thelistn】icemodelunder thestockonhandmistureblue market,andbring print non-perfect stockindexfutures.At tothe the whichsimulate conclustion,toverify last,according in market. domestic arbitrageopportunity onhand Words."StockIndexFutures:Stock Key setup;Arbitrage ―II― 獨創(chuàng)性說明 作者鄭重聲明:本碩士學(xué)位論文是我個人在導(dǎo)師指導(dǎo)下進(jìn)行的研究工 作及取得研究成果。盡我所知,除了文中特別加以標(biāo)注和致謝的地方外, 論文中不包含其他人已經(jīng)發(fā)表


  本文關(guān)鍵詞:股指期貨期現(xiàn)套利中的現(xiàn)貨構(gòu)建與實證研究,由筆耕文化傳播整理發(fā)布。



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