基于物价周期的股指期货交易策略研究

发布时间：2018-04-18 16:07

本文选题：物价周期 + 股指期货　；参考：《吉林财经大学》2012年硕士论文

【摘要】：2010年4月16日，在经历了近10年的研究讨论后我国正式推出了以沪深300指数为标的物的股指期货合约,作为我国首个金融期货品种，正逐步通过其价值发现、套期保值和投机功能发挥着重要的作用。然而，如何发挥股指期货的上述功能，规避宏观环境运行风险，不但要深入研究股指运行的宏观经济指标，还需要将宏观经济指标量化分析获得准确的影响结论，才能建立基于宏观经济运行环境的套利模型，交易策略进行风险提示及规避。本文正是基于这一背景而展开深入的研究，通过研究宏观经济运行的物价水平指标CPI的周期性波动关系以及对股票价格的相互影响关系，建立量化模型，揭示物价水平对股票价格指数的运行影响关系大小以及如何通过物价水平来预测股票价格指数，最终转化为运用股指期货来规避由于物价大幅波动引起的资产价格的波动风险。首先将经济周期这一概念延伸到我国物价水平的周期波动上，并将物价周期划分为四个阶段，以2%的警戒线作为通胀开始的标志。物价周期波动与股票指数的周期波动存在一些共同的特征。物价是对居民消费品价格的指数表示，而股票价格指数是对资本价格指数的表示，同作为资产的价格表现形式来看，两者上涨与下跌的趋势具有同向的关系，不同的仅是时间先后关系而已。其次通过对序列的单位根检验，相关关系等的测试后，建立分数阶差分预期协整模型用物价指数对股票价格指数的拟合模型，并对预留数据进行预测效果的测试，，并获得了较好预测效果。最后，由于本文所建模型是建立在预期因素基础上进行的建模。因此需要解决一个理论前提：能准确预测因变量指标未来的趋势，只要趋势准确，就能把握住作为领先指标的股票价格指数的未来趋势。
[Abstract]:On April 16, 2010, after nearly 10 years of research and discussion, China officially launched the stock index futures contract with the Shanghai and Shenzhen 300 index as the subject matter. As the first financial futures variety in China, it is gradually found through its value.Hedging and speculative functions play an important role.However, how to give full play to the above function of stock index futures and avoid the risk of macro environment operation, we should not only deeply study the macro economic indexes of stock index operation, but also need to get accurate conclusions by quantifying the macro economic indexes.Only in this way can we establish the arbitrage model based on the macro-economic operating environment and trade strategy to prompt and avoid the risks.This paper is based on this background to carry out in-depth research, through the study of the macro-economic operation of the price level index CPI periodic fluctuations and the mutual impact on stock prices, the establishment of a quantitative model,This paper reveals the influence of price level on the operation of stock price index and how to predict stock price index through price level, which is transformed into using stock index futures to avoid the risk of asset price fluctuation caused by large price fluctuation.Firstly, the concept of economic cycle is extended to the periodic fluctuation of the price level in China, and the price cycle is divided into four stages, and the warning line of 2% is taken as the sign of the beginning of inflation.There are some common characteristics between price cycle fluctuation and stock index cycle fluctuation.The price of goods is the index of the consumer price of the residents, while the stock price index is the expression of the capital price index. As a form of expression of the price of assets, the rising and falling trends of both are in the same direction.The difference is only a matter of time and order.Secondly, after testing the unit root test and correlation relation of the series, the fractional differential expectation cointegration model is established to fit the stock price index with the price index, and the prediction effect of the reserved data is tested.Good prediction results are obtained.Finally, because the model is built on the basis of expected factors.Therefore, we need to solve a theoretical premise: we can accurately predict the future trend of the dependent variable index, so long as the trend is accurate, we can grasp the future trend of the stock price index as the leading index.
【学位授予单位】：吉林财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F726;F832.51

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