中国市场金融衍生品套利研究

发布时间：2018-03-13 02:27

本文选题：套利　切入点：股指期货　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货和融资融券的推出标志着中国进入了做空时代，国债期货、指数期权和个股期权的筹备更会进一步推动金融衍生品的发展。在此背景下，套利策略不断发展壮大，同时也吸引着越来越多学者和投资者的关注。基于中国市场的套利策略研究，具有一定的理论和应用价值。本文立足国内金融市场，研究了股指期货期现套利、Alpha套利以及国债期货基差套利等一系列套利策略；由于冲击成本的确定在套利策略实施中具有重要意义，因此本文基于股指期货上市以来的高频数据，实证分析了股指期货的流动性和冲击成本，为确定套利策略隐性成本提供实际的数据支持；最后结合程序化交易和套利实践，从行情处理和交易报盘两方面给出一些优化的技术方案。具体而言，本文主要包含以下工作： (1)股指期货的期现套利和成份股分红的影响。本文详细分析了套利策略的现金流，根据无套利定价原则，推导出考虑了市场成本后的正向套利边界。为了研究分红对于套利策略的影响，本文根据实际数据分析近年来成份股的分红规律和股指期货上市以来期现收敛的情况，给出如下结论：对于持仓周期较短的套利持仓，根据上市公司公告逐月估计分红率比使用平均年化分红率更为合理。 (2) Alpha套利策略实施流程和基于VaR方法确定预留现金比率。本文给出了Alpha套利实施的流程，包括基于多因子模型的股票投资组合创建、期货对冲比率和头寸的确定、执行中由β变化和期货保证金追加而带来的动态调整和最终平仓等。通过实际分析股指期货自上市以来的日回报数据，采用历史模拟VaR方法来确定预留现金比率，控制风险的同时加强资金的利用率。 (3)综合多角度的股指期货流动性实证定量分析。股指期货流动性分析对于套利策略中冲击成本的确定具有重要意义。本文定义了交易活跃度（交易空窗比例）、瞬间波动和价差等指标，对股指期货流动性进行了多角度的定量分析，为确定套利策略隐性成本提供数据支持。 (4)国债期货前瞻和程序化交易技术优化。针对即将推出的国债期货，本文借鉴了国外相关理论和实践，分析了国债期货转换因子、最廉价可交割债券等核心概念，介绍了国债期货基差套利基本原理。最后结合中国市场实践，探讨了程序化交易与套利策略的整合，，从高速行情和自动交易两方面提出程序计算ETF的IOPV、拆单算法、最小单位逐次对冲下单等优化技术方案。
[Abstract]:The introduction of stock index futures and margin financing indicates that China has entered an era of short selling, and the preparation of treasury bond futures, index options and individual stock options will further promote the development of financial derivatives. At the same time, it also attracts more and more attention of scholars and investors. The research of arbitrage strategy based on Chinese market has certain theoretical and practical value. Based on the domestic financial market, this paper studies a series of arbitrage strategies, such as Alpha arbitrage in stock index futures period and arbitrage of treasury bond futures, because the determination of impact cost is of great significance in the implementation of arbitrage strategy. Therefore, based on the high frequency data of stock index futures listed, this paper empirically analyzes the liquidity and impact cost of stock index futures, and provides practical data support for determining the implicit cost of arbitrage strategy. Finally, combined with programmed trading and arbitrage practice, This paper gives some optimized technical schemes from two aspects of quotation processing and trading offer. Specifically, this paper mainly includes the following work:. This paper analyzes the cash flow of arbitrage strategy in detail, according to the principle of no arbitrage pricing, In order to study the effect of dividend on arbitrage strategy, this paper analyzes the law of dividends and the convergence of stock index futures in recent years according to the actual data. The conclusions are as follows: for arbitrage positions with short holding period, it is more reasonable to estimate the dividend rate monthly than to use the average annual dividend rate according to the announcement of the listed company. 2) the implementation process of Alpha arbitrage strategy and the determination of reserved cash ratio based on VaR method. This paper presents the implementation process of Alpha arbitrage, including the creation of stock portfolio based on multi-factor model, the determination of futures hedge ratio and position. Through the actual analysis of daily return data of stock index futures since listing, the paper uses historical simulation VaR method to determine the reserved cash ratio. Control the risk while strengthening the utilization of funds. The liquidity analysis of stock index futures is of great significance to the determination of impact cost in arbitrage strategy. This paper defines the degree of transaction activity. Indicators such as volatility and spread, The quantitative analysis of stock index futures liquidity from different angles is carried out to provide data support for determining the implicit cost of arbitrage strategy. (4) Forward-looking of treasury bond futures and optimization of procedural trading technology. In view of the forthcoming treasury bond futures, this paper draws lessons from relevant theories and practices abroad, and analyzes the core concepts of the conversion factor of treasury bonds futures, the cheapest deliverable bonds, etc. This paper introduces the basic principle of arbitrage of base difference of national debt futures. Finally, combining with the practice of Chinese market, the integration of programmed trading and arbitrage strategy is discussed. Minimum unit successive hedging orders and other optimization technical solutions.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5

【参考文献】