基于计算实验金融的股指期货交易策略评测

发布时间：2018-02-09 03:05

本文关键词： 交易策略股指期货计算实验金融评测体系　出处：《天津大学》2012年硕士论文　论文类型：学位论文

【摘要】：2010年4月16日，我国沪深300股指期货合约正式上市交易，标志着我国股票市场与股指期货市场并存的跨市场结构初步形成，推动了资本市场的多元化变革。随着股指期货的推出，市场中的投资品种和交易策略增多，分析研究不同交易策略的优劣，既能为投资者提供投资决策的依据，也能为监管机构提供监督管理的参考，具有很好的现实意义。本文采用新兴的计算实验金融方法，使用融合股票和股指期货市场的跨市场计算实验金融平台，进行仿真交易实验，获得5秒钟高频交易数据，分析市场中价值投资、技术交易、流动性交易和套利交易这四类交易策略的收益、风险、资本占用和冲击成本，构建股指期货交易策略评测的体系框架。相比于之前的研究，本文在研究方法上采取了新兴的计算实验金融方法，在研究内容上不只是关注单一策略的盈利能力，而是综合考量多种交易策略的各个方面，构建股指期货交易策略评测的体系框架，具有一定的创新性。研究发现，价值投资各方面表现良好，技术交易的风险较大，套利交易的资本占用量和冲击成本较大，，噪音交易者的财富几乎全部损失。所以，投资者应该充分分析市场信息，完善学习和预测机制，结合自身的情况，寻求收益和风险之间的平衡。监管者要加强对投资者的教育，减少市场中的噪音交易者，避免投资者因为盲目投资而承受巨大的损失，保证市场的良性运作。
[Abstract]:In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures contracts were officially listed and traded, marking the initial formation of the cross-market structure of the coexistence of the stock market and the stock index futures market in China. With the introduction of stock index futures, the number of investment varieties and trading strategies in the market has increased. The analysis and study of the advantages and disadvantages of different trading strategies can provide investors with the basis for investment decisions. Also can provide supervision and management for the regulatory body reference, has a good practical significance. In this paper, a new computational experimental financial method is adopted, and a cross-market computing experimental financial platform combining stock and stock index futures markets is used to carry out simulation trading experiments to obtain 5-second high-frequency trading data, and to analyze the value investment in the market. Technology trading, liquidity trading and arbitrage trading are the four types of trading strategies of income, risk, capital occupation and impact costs, to build the stock index futures trading strategy evaluation system framework. Compared with the previous research, this paper adopts a new computational experimental financial method in the research method. In the research content, it not only pays attention to the profitability of a single strategy, but also comprehensively considers all aspects of various trading strategies. It is innovative to construct the system framework of stock index futures trading strategy evaluation. The study found that the value investment performed well in all aspects, the risk of technology trading was higher, the amount of capital and impact cost of arbitrage trade was larger, and the wealth of noise traders was almost all lost. Investors should fully analyze market information, improve learning and forecasting mechanisms, and combine their own situation to find a balance between returns and risks. Regulators should strengthen the education of investors and reduce noise traders in the market. Avoid investors because of blind investment and bear huge losses, to ensure the sound operation of the market.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【引证文献】