股指期货投资策略对市场宏观特性的影响
发布时间：2018-09-07 07:30
【摘要】：本文选用人工股指期货平台自带的j30指数作为现货指数序列,考察在人工股指期货市场的特定市场结构中,不同投资策略的投资者进行下单交易后产生的市场价格序列、成交量等涌现出来的宏观特性,并运用描述性统计量,ARMA模型和ARCH-LM检验来度量收益率的尖峰厚尾和波动聚集特征。人工股指期货市场(U-Mart)的市场架构为股指期货的单市场交易,我们只能在其中买卖期货合约,不存在期现市场的双向作用机制,也不存在跨市场套利行为。因此,现货指数序列是取自历史的真实数据或者随机生成的,是外生于期货市场的。我们采用人工期货市场的竞价机制是集合竞价,并采用固定算法规则撮合,无涨停和跌停的限制,也无摩擦和手续费用,并且允许卖空,其交易条件是相当宽松的。这样一来我们就可以在一定额度的贷款下来更好地实现和观测操作策略对于市场宏观特性的影响。 经过实验研究结论证明:在实验一中,随机交易生成的股指期货价格非常平稳,仅在1980-2100间小范围小幅度波动,波动性低,成交量也很小,流动性较差,从收益率特性来看,实验一服从了收益率的正态分布假设,并没有出现现实金融市场中出现的收益率的尖峰厚尾性,同时经过拉格朗日乘数检验后,也没有发现波动聚集性。在实验二中,移动平均投资者的加入使得期货价格波动性略微提高,在2020-2200间波动,成交量也略微提高,流动性增加。从收益率曲线的特性来看,移动平均投资者的加入使得曲线开始偏离正态分布,尽管这种偏离程度不高,但是我们仍然可以看到尖峰厚尾特征的出现,同时我们也发现了价格收益率的波动群集特征。在实验三中,动量投资者的加入使得股指期货价格开始剧烈波动,成交量也大幅增加了。收益率曲线开始明显的偏离正态分布,形成典型的尖峰厚尾特征,同时波动集群特征也明显出现,由此我们可以得出趋势投资者是造成金融市场中尖峰厚尾和波动群集特性的重要原因。
[Abstract]:This paper selects the J30 index of artificial stock index futures platform as the spot index sequence to investigate the market price sequence of investors with different investment strategies in the specific market structure of artificial stock index futures market. The macroscopical characteristics of turnover and so on are presented. The ARMA model of descriptive statistics and ARCH-LM test are used to measure the characteristics of peak, thick tail and volatility aggregation of yield. The market structure of artificial stock index futures market (U-Mart) is the single market trading of stock index futures, in which we can only buy and sell futures contracts, there is no two-way mechanism of the current market, and there is no cross-market arbitrage behavior. Therefore, the spot index series is derived from historical real data or randomly generated, is born out of the futures market. In the artificial futures market, the bidding mechanism is set bidding, and the fixed algorithm is used to set the price. There is no limit of the limit and limit, no friction and formalities, and the short selling is allowed. The trading conditions are quite loose. In this way, we can better realize and observe the effect of the operation strategy on the macro characteristics of the market with a certain amount of loan. The experimental results show that in the first experiment, the price of stock index futures generated by random trading is very stable, and only fluctuates in a small range between 1980 and 2100. The volatility is low, the turnover is very small, and the liquidity is poor. In the first experiment, the hypothesis of normal distribution of rate of return is given, and there is no sharp and thick tail of yield in real financial market. At the same time, after the Lagrange multiplier test, there is no volatility aggregation. In experiment 2, the addition of moving average investors slightly increased futures price volatility, fluctuating between 2020-2200, trading volume and liquidity. From the point of view of the characteristics of the yield curve, the addition of moving average investors makes the curve deviate from the normal distribution. Although the deviation is not high, we can still see the appearance of the peak and thick tail. At the same time, we also found the volatility cluster characteristics of price return. In experiment 3, momentum investor's addition made stock index futures price fluctuate sharply and turnover increased. The yield curve began to deviate from the normal distribution obviously, forming the typical peak and thick tail characteristics, and the characteristic of fluctuation cluster also appeared obviously. From this we can conclude that trend investors are the important reasons for the characteristics of the peak and the volatility cluster in the financial 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】：F224;F830.91
本文编号：2227615
[Abstract]:This paper selects the J30 index of artificial stock index futures platform as the spot index sequence to investigate the market price sequence of investors with different investment strategies in the specific market structure of artificial stock index futures market. The macroscopical characteristics of turnover and so on are presented. The ARMA model of descriptive statistics and ARCH-LM test are used to measure the characteristics of peak, thick tail and volatility aggregation of yield. The market structure of artificial stock index futures market (U-Mart) is the single market trading of stock index futures, in which we can only buy and sell futures contracts, there is no two-way mechanism of the current market, and there is no cross-market arbitrage behavior. Therefore, the spot index series is derived from historical real data or randomly generated, is born out of the futures market. In the artificial futures market, the bidding mechanism is set bidding, and the fixed algorithm is used to set the price. There is no limit of the limit and limit, no friction and formalities, and the short selling is allowed. The trading conditions are quite loose. In this way, we can better realize and observe the effect of the operation strategy on the macro characteristics of the market with a certain amount of loan. The experimental results show that in the first experiment, the price of stock index futures generated by random trading is very stable, and only fluctuates in a small range between 1980 and 2100. The volatility is low, the turnover is very small, and the liquidity is poor. In the first experiment, the hypothesis of normal distribution of rate of return is given, and there is no sharp and thick tail of yield in real financial market. At the same time, after the Lagrange multiplier test, there is no volatility aggregation. In experiment 2, the addition of moving average investors slightly increased futures price volatility, fluctuating between 2020-2200, trading volume and liquidity. From the point of view of the characteristics of the yield curve, the addition of moving average investors makes the curve deviate from the normal distribution. Although the deviation is not high, we can still see the appearance of the peak and thick tail. At the same time, we also found the volatility cluster characteristics of price return. In experiment 3, momentum investor's addition made stock index futures price fluctuate sharply and turnover increased. The yield curve began to deviate from the normal distribution obviously, forming the typical peak and thick tail characteristics, and the characteristic of fluctuation cluster also appeared obviously. From this we can conclude that trend investors are the important reasons for the characteristics of the peak and the volatility cluster in the financial 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】：F224;F830.91
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