沪深300股指期货错误定价时间序列的非线性特征研究

发布时间：2018-06-03 01:02

本文选题：股指期货错误定价 + 非线性特征　；参考：《湖南大学》2012年硕士论文

【摘要】：沪深300股指期货作为我国首只金融期货品种，自推出来了在平抑市场波动，增加市场流动性，价格发现等方面取得不错成果。由于交易成本，市场微观结构以及投资者行为等因素的影响，股指期货市场存在错误定价现象。沪深300股指期货的错误定价表述为股指期货的市场价格与其理论价格的偏差。股指期货错误定价时间序列是股指期货错误定价在时间轴上形成的一系列连续值。股指期货错误定价时间序列作为金融时间序列的一部分，它具有金融时间序列一般的非线性特征，比如说尖峰厚尾，波动集聚等非线性特征。目前对金融时间序列非线性特征的研究比较多，然而关于沪深300股指期货错误定价时间序列非线性特征研究的文章很少。为此，本文参照金融时间序列非线性特征的研究思路，对错误定价时间序列进行相关的非线性检验，实证得到错误定价时间序列存在尖峰厚尾，自相关，波动集聚的特征之后，接着采用分形理论，运用R/S分析法来研究错误定价时间序列的长期记忆和分形特征，建立ARMA-GARCH模型来拟合错误定价时间序列，，并进行模型的短期预测。
[Abstract]:As the first financial futures in China, Shanghai and Shenzhen 300 stock index futures have achieved good results in stabilizing market fluctuations, increasing market liquidity and price discovery. Because of the influence of transaction cost, market microstructure and investor behavior, the stock index futures market has mispricing phenomenon. The mispricing of Shanghai and Shenzhen 300 stock index futures is expressed as the deviation between the market price and the theoretical price of stock index futures. Stock index futures mispricing time series is a series of continuous values formed on the time axis of stock index futures mispricing. Stock index futures mispricing time series as a part of financial time series, it has the general nonlinear characteristics of financial time series, such as peak thick tail, volatility agglomeration and other nonlinear characteristics. At present, there are many researches on the nonlinear characteristics of financial time series, but there are few articles on the nonlinear characteristics of Shanghai and Shenzhen 300 stock index futures mispricing time series. Therefore, according to the research ideas of the nonlinear characteristics of financial time series, this paper makes a correlation nonlinear test on the mispricing time series. The empirical results show that the mispricing time series has the characteristics of peak and thick tail, autocorrelation and volatility agglomeration. Then we use fractal theory and R / S analysis to study the long-term memory and fractal characteristics of mispricing time series, establish ARMA-GARCH model to fit the mispricing time series, and carry out short-term prediction of the model.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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