基于ARIMA模型的沪深300指数预测及期现套利的研究

发布时间：2018-04-14 01:04

本文选题：股指期货 + 沪深300指数　；参考：《苏州大学》2013年硕士论文

【摘要】：股指期货以沪深300指数为标的，，沪深300指数代表了中国股市的整体走势，是集中了有代表性的多种股票的研究，基本认为其反映了中国股市的高低，个别公司股票价格的异常反应对大盘指数的影响则是有限的。因此用技术手段研究股价波动，选择沪深300指数做研究对象更合适。相应的，对于投资组合的操作和机构或基金投资也有指导意义。特别地，对以沪深300指数为标的股指期货研究有指导作用。我们用时间序列分析中的ARIMA模型来对沪深300指数建立模型，希望为企业和投资者在进行相关决策时提供有益的参考。本文利用2010年5月7日至2013年2月22日的时间序列数据，运用ARIMA模型建立了沪深300指数的预测模型，并对模型的预测效果进行了分析。通过建立股指期货套利区间，并用ETF基金对沪深300指数进行复制，来实现期现套利，是市场中常见的套利方式。本文对期现套利进行了实证分析，并分析了套利效果。
[Abstract]:Stock index futures are based on the CSI 300 index, which represents the overall trend of the Chinese stock market. It is a concentrated study of a variety of representative stocks, which basically reflects the level of the Chinese stock market.The abnormal reaction of the stock price of individual company is limited to the influence of the large market index.Therefore, it is more appropriate to study stock price volatility by technical means and choose Shanghai and Shenzhen 300 Index as research objects.Accordingly, the operation of the portfolio and institutional or fund investments are also instructive.In particular, to Shanghai and Shenzhen 300 index as the underlying stock index futures research has a guiding role.We use the ARIMA model in time series analysis to build the model of CSI 300 index, hoping to provide a useful reference for enterprises and investors in making relevant decisions.Based on the time series data from May 7, 2010 to February 22, 2013, the prediction model of Shanghai and Shenzhen 300 index is established by using ARIMA model, and the prediction effect of the model is analyzed.By establishing the arbitrage range of stock index futures and replicating the CSI 300 index with ETF fund, it is a common arbitrage method in the market to carry out the current arbitrage.This article carries on the empirical analysis to the period present arbitrage, and analyzes the arbitrage effect.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】