本文關(guān)鍵詞：滬深300股指期貨跨期套利算法研究與系統(tǒng)設(shè)計(jì)　出處：《東華大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股指期貨 跨期套利 協(xié)整模型 套利算法 系統(tǒng)設(shè)計(jì)

【摘要】：股指期貨是以股票價(jià)格指數(shù)為交易標(biāo)的的期貨,投資者運(yùn)用股指期貨,既能夠有效的規(guī)避股票市場的系統(tǒng)風(fēng)險(xiǎn),又能夠利用它進(jìn)行套利。目前,股指期貨套利功能引起了國內(nèi)外投資者的廣泛關(guān)注。因此,本文采用統(tǒng)計(jì)套利的思想,對(duì)滬深300股指期貨的統(tǒng)計(jì)套利的程序化交易算法及系統(tǒng)實(shí)現(xiàn)進(jìn)行了研究。本文首先介紹了股指期貨跨期套利策略及模型,在此基礎(chǔ)上,構(gòu)建了程序化交易策略的算法,并采用滬深300股指期貨當(dāng)月合約和下月合約的1分鐘高頻數(shù)據(jù)進(jìn)行實(shí)證分析,最后用Matlab軟件編程實(shí)現(xiàn)了套利交易機(jī)會(huì)的自動(dòng)判斷和收益率計(jì)算。在程序化交易策略的算法方面,提出了兩種程序化交易策略；之后,在實(shí)證方面,首先對(duì)配對(duì)合約樣本內(nèi)數(shù)據(jù)進(jìn)行了協(xié)整關(guān)系的檢驗(yàn),證明合約間價(jià)差存在均值回歸,并利用協(xié)整檢驗(yàn)的回歸方程得出的系數(shù)作為交易頭寸的比例,回歸后的殘差序列作為套利判斷的依據(jù),在正態(tài)分布的基礎(chǔ)上給出交易的開倉、平倉和止損時(shí)點(diǎn),建立套利交易的策略,計(jì)算了交易次數(shù)和累計(jì)收益率。在Matlab實(shí)現(xiàn)方面,考慮期貨價(jià)格序列方差時(shí)變特性,對(duì)樣本外一個(gè)長時(shí)段數(shù)據(jù)采用了移動(dòng)窗口預(yù)測法來預(yù)測價(jià)差序列的波動(dòng),通過Matlab開發(fā)的套利系統(tǒng)實(shí)現(xiàn)了實(shí)時(shí)讀取數(shù)據(jù)判斷交易,完成程序化套利的過程,并得到樣本外數(shù)據(jù)實(shí)證結(jié)果,通過對(duì)比,移動(dòng)窗口預(yù)測法得到的窗口大小與移動(dòng)頻率決定了套利機(jī)會(huì)和累計(jì)收益率,在經(jīng)過對(duì)這兩項(xiàng)參數(shù)的優(yōu)化后取得了良好的套利效果,并有略高出樣本內(nèi)數(shù)據(jù)的平均收益率
[Abstract]:Stock index futures are futures with stock price index as the trading target. Using stock index futures, investors can effectively avoid the systematic risk of the stock market, but also can use it to carry on arbitrage. The arbitrage function of stock index futures has attracted the attention of investors both at home and abroad. Therefore, this paper adopts the idea of statistical arbitrage. This paper studies the program trading algorithm and system realization of statistical arbitrage of CSI 300 stock index futures. Firstly, this paper introduces the strategy and model of intertemporal arbitrage of stock index futures, and on this basis. The algorithm of programmed trading strategy is constructed, and the high-frequency data of Shanghai and Shenzhen 300 stock index futures are used for empirical analysis of one-minute high frequency data of month contract and next month contract. Finally, the automatic judgment of arbitrage trading opportunity and the calculation of profit rate are realized by using Matlab software, and two programmed trading strategies are put forward in the algorithm of programmed trading strategy. Then, in the empirical aspect, we first test the cointegration relationship of the data in the paired contract sample, and prove that there is a mean regression of the price difference between the contracts. The coefficient obtained by cointegration test is used as the proportion of trading position, and the residual sequence after regression is used as the basis of arbitrage judgment. On the basis of normal distribution, the time points of opening, closing and stopping losses are given. The strategy of arbitrage trading is established, the times of trading and the cumulative rate of return are calculated. In the implementation of Matlab, the time-varying characteristics of the variance of futures price series are considered. For a long time data outside the sample, the moving window prediction method is used to predict the fluctuation of the spread sequence. The arbitrage system developed by Matlab realizes the real-time reading data to judge the transaction. Complete the process of programmed arbitrage and get the empirical results of data outside the sample. By comparison, the window size and frequency of mobile window prediction determine the arbitrage opportunity and cumulative rate of return. After the optimization of these two parameters, good arbitrage effect is obtained, and the average rate of return is slightly higher than that of the data in the sample.
【學(xué)位授予單位】：東華大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F724.5;F832.51

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本文編號(hào)：1377055