面向高频量化交易的沪深300股指期货跨期套利研究
发布时间：2018-10-29 15:06
【摘要】：国外的股指期货已有近30年的历史，而我国大陆的第一支也是唯一一支股指期货——沪深300股指期货是2010年4月16日才发行的，历史很短，，但一经推出就成为研究热点。目前比较热门的研究集中在利用股指期货进行期现套利和跨期套利两方面。 本文主要研究沪深300股指期货的跨期套利，选取近期交易的实际数据进行建模分析。本文选取沪深300股指期货日内每五分钟收盘价这一高频数据作为研究对象，选择两种目前领域内最为热门的两种模型——持有成本模型和协整模型建立模型进行实证分析。对模型中涉及的参数结合目前国内市场的实际情况加以设定，得出了比较好的实验结果，发现了一些套利的机会。在协整模型中还根据风险因素对套利机会加以过滤，发现了比较稳定的套利机会，对模型有一定的改进和完善。 在持有成本模型方面，根据国内市场的特点对一些参数进行了设定，在对数据进行跨期套利时得到了比较好的结果，发现了一些正向和反向的套利机会。在协整模型方面，除了对两组期货合约的价格指数进行协整分析，还对均衡误差项即为价差建立了显著的ARMA模型，使用这一模型的静态预测功能能够在很大程度上预测出下一时间点价差的走势。利用ARMA模型的预测功能能够从协整模型发现的大量套利机会找到较为稳定的套利机会，对模型进行了改进 通过对两模型的理论和实证分析，对二者发现的套利机会进行了对比，发现针对本文所选择的数据，两种模型都是有效的。但是协整模型更加准确和敏感能够发现更细微的套利机会。
[Abstract]:The stock index futures of foreign countries have a history of nearly 30 years, and the first stock index futures of mainland China is the only stock index futures, the Shanghai and Shenzhen 300 stock index futures was issued on April 16, 2010, the history is very short, but once it is launched, it has become a research hotspot. At present, the popular research focuses on using stock index futures to carry out current arbitrage and cross-term arbitrage. This paper mainly studies the intertemporal arbitrage of Shanghai and Shenzhen 300 stock index futures, and selects the actual data of recent trading to model and analyze. This paper selects the high frequency data of Shanghai and Shenzhen 300 stock index futures every five minutes closing price as the research object, and chooses two most popular models in the field at present, holding cost model and co-integration model, to make empirical analysis. The parameters involved in the model are set according to the actual situation of the domestic market at present, and some good experimental results are obtained, and some opportunities of arbitrage are found. In the co-integration model, the chance of arbitrage is filtered according to the risk factors, and the stable arbitrage opportunity is found, which improves and perfects the model to some extent. In the aspect of holding cost model, some parameters are set according to the characteristics of domestic market, and some positive and reverse arbitrage opportunities are found when the data is arbitraged over time. In terms of cointegration model, in addition to the cointegration analysis of the price indices of two groups of futures contracts, a significant ARMA model is also established for the equilibrium error term, that is, the price difference between the two groups of futures contracts. The static prediction function of this model can predict the trend of the next time point spread to a great extent. By using the prediction function of ARMA model, we can find stable arbitrage opportunities from a large number of arbitrage opportunities found by cointegration model, and improve the model through theoretical and empirical analysis of the two models. The paper compares the arbitrage opportunities found by the two models and finds that both models are valid for the data selected in this paper. But cointegration models are more accurate and sensitive to detect more subtle arbitrage opportunities.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2298031
[Abstract]:The stock index futures of foreign countries have a history of nearly 30 years, and the first stock index futures of mainland China is the only stock index futures, the Shanghai and Shenzhen 300 stock index futures was issued on April 16, 2010, the history is very short, but once it is launched, it has become a research hotspot. At present, the popular research focuses on using stock index futures to carry out current arbitrage and cross-term arbitrage. This paper mainly studies the intertemporal arbitrage of Shanghai and Shenzhen 300 stock index futures, and selects the actual data of recent trading to model and analyze. This paper selects the high frequency data of Shanghai and Shenzhen 300 stock index futures every five minutes closing price as the research object, and chooses two most popular models in the field at present, holding cost model and co-integration model, to make empirical analysis. The parameters involved in the model are set according to the actual situation of the domestic market at present, and some good experimental results are obtained, and some opportunities of arbitrage are found. In the co-integration model, the chance of arbitrage is filtered according to the risk factors, and the stable arbitrage opportunity is found, which improves and perfects the model to some extent. In the aspect of holding cost model, some parameters are set according to the characteristics of domestic market, and some positive and reverse arbitrage opportunities are found when the data is arbitraged over time. In terms of cointegration model, in addition to the cointegration analysis of the price indices of two groups of futures contracts, a significant ARMA model is also established for the equilibrium error term, that is, the price difference between the two groups of futures contracts. The static prediction function of this model can predict the trend of the next time point spread to a great extent. By using the prediction function of ARMA model, we can find stable arbitrage opportunities from a large number of arbitrage opportunities found by cointegration model, and improve the model through theoretical and empirical analysis of the two models. The paper compares the arbitrage opportunities found by the two models and finds that both models are valid for the data selected in this paper. But cointegration models are more accurate and sensitive to detect more subtle arbitrage opportunities.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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本文编号：2298031
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