基于Z-score的股指期貨跨期套利策略改進(jìn)
[Abstract]:Intertemporal arbitrage strategy is the representative of statistical arbitrage strategy applied in futures market. The domestic literature mainly focuses on the cross-period arbitrage strategy based on cointegration method and shows that there is room for intertemporal arbitrage in domestic stock index futures market. However, due to the limitation of cointegration method, its strategy is difficult to implement in practice. In this paper, the unfavorable realization of cross-period arbitrage based on cointegration method is improved, and the performance of the two methods is compared. The results show that the cross-period arbitrage strategy based on Z-score is superior to the cross-period arbitrage strategy based on co-integration in terms of strategy feasibility and profitability.
【作者單位】: 華東政法大學(xué)商學(xué)院;
【分類號(hào)】:F724.5;F224
【參考文獻(xiàn)】
相關(guān)期刊論文 前1條
1 仇中群;程希駿;;基于協(xié)整的股指期貨跨期套利策略模型[J];系統(tǒng)工程;2008年12期
【共引文獻(xiàn)】
相關(guān)期刊論文 前10條
1 鞏萌;王未卿;;股指期貨跨市套利的實(shí)證分析——基于滬深300指數(shù)期貨和恒生指數(shù)期貨[J];財(cái)會(huì)月刊;2012年15期
2 張金雷;;基于EGARCH模型的股指期貨跨期套利交易策略研究[J];經(jīng)營(yíng)管理者;2014年02期
3 方兆本;王利斌;葉五一;;基于變結(jié)構(gòu)協(xié)整的股指期貨跨期套利[J];北京航空航天大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2015年04期
4 楊立勇;王海俠;;基于統(tǒng)計(jì)套利思想的股指期貨跨期套利[J];經(jīng)濟(jì)數(shù)學(xué);2012年02期
5 柳慰穎;陳以增;毛亞莉;;基于指數(shù)加權(quán)移動(dòng)平均模型的滬深300協(xié)整跨期套利策略[J];南昌大學(xué)學(xué)報(bào)(理科版);2012年04期
6 丁挺立;;滬深300ETF期現(xiàn)套利機(jī)會(huì)差異性實(shí)證分析[J];金融教育研究;2012年05期
7 王飛;孫維堯;;基于Black-Scholes方程的股指期貨期現(xiàn)套利模型及交易算法[J];計(jì)算機(jī)應(yīng)用;2013年S1期
8 楊懷東;潘s,
本文編號(hào):2178176
本文鏈接:http://sikaile.net/jingjilunwen/zbyz/2178176.html