我国10年期国债期货跨期套利策略研究

发布时间：2018-01-19 02:40

本文关键词： 国债期货跨期套利传统套利统计套利　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：作为期货市场中一种常用的套利交易方式,跨期套利为投资者在投资过程中管理资产以及对冲价格波动风险提供了有效的工具,同时也保障了金融市场的稳定良好运行。我国10年期国债期货的上市,为投资者和金融机构提供了更为丰富的套利交易品种,丰富了市场交易策略。本文以这一最新上市的国债期货品种作为研究对象,选择流动性较高的当季连续和下季连续合约为研究样本,从价差套利的角度,在对跨期套利的市场交易参数以及操作程序进行合理设定的基础上,运用传统套利和统计套利这两种策略,从实证的角度对所选取的样本数据的跨期套利效率进行了确定,得出了相应的结论。本文基于传统套利和统计套利两种策略对我国10年期国债期货当季连续和下季连续合约跨期套利交易的研究主要得出以下结论:传统套利策略和统计套利策略在对期货跨期价差进行分析并建立以均衡价差为中心的无套利区间后,能够在设定相应的套利交易信号的基础上,对市场中的跨期套利机会进行有效识别,两种策略的主要区别在于价差序列计算方法的不同;在对无风险利率、现货收益率以及相关套利成本等参数进行设定的基础上,运用Matlab程序编程操作,能够有效捕捉市场中存在的跨期套利机会;对10年期国债期货这一最新上市国债期货品种的跨期套利交易的实证研究表明市场中存在一定的套利空间,运用传统套利以及统计套利这两种策略均可获得一定的跨期套利收益,且策略效果因均衡价差计算方法而异,表现为移动平均法的套利效果优于均值法,而在相同移动平均均衡价差计算方法下,从套利收益率、套利交易次数以及套利成功率等方面综合来看,传统套利策略和统计套利策略不存在明显的优劣之分。本文研究所得结论能够为投资者进行期货跨期套利交易提供一定的理论参考,同时帮助投资者在10年期国债期货这一最新国债期货品种上市初期捕捉市场中的套利机会,获得投资收益,从而在一定程度上帮助期货市场的产品定价更加合理,促进我国期货市场健康稳定运行。
[Abstract]:As a common arbitrage trading method in futures market, interterm arbitrage provides an effective tool for investors to manage assets and hedge the risk of price volatility in the process of investment. At the same time, it also ensures the stable and good operation of the financial market. China's 10-year Treasury bond futures listed, for investors and financial institutions to provide a richer variety of arbitrage trading. This paper takes this newly listed treasury bond futures as the research object, selects the current continuous contract with high liquidity and the continuous contract in the next quarter as the research sample, from the angle of spread arbitrage. On the basis of reasonable setting of market parameters and operating procedures of intertemporal arbitrage, two strategies of traditional arbitrage and statistical arbitrage are used. From the empirical point of view, the cross-period arbitrage efficiency of the selected sample data is determined. Based on the traditional arbitrage strategy and statistical arbitrage strategy, this paper mainly draws the following conclusions: (1) based on the two strategies of traditional arbitrage and statistical arbitrage, this paper studies the futures futures of 10-year Treasury bonds in the current quarter and the next consecutive contracts in the next quarter. The traditional arbitrage strategy and statistical arbitrage strategy are used to analyze the intertemporal spread of futures and to establish a non-arbitrage range centered on the equilibrium spread. On the basis of setting the corresponding arbitrage trading signals, we can effectively identify the cross-period arbitrage opportunities in the market. The main difference between the two strategies lies in the difference of the calculation methods of the spread sequence. On the basis of setting the risk-free interest rate, spot return rate and related arbitrage cost, we can effectively capture the intertemporal arbitrage opportunities in the market by using Matlab program. The empirical study on 10-year Treasury bond futures, the latest listed treasury bond futures, shows that there is a certain space for arbitrage in the market. Two strategies, traditional arbitrage and statistical arbitrage, can achieve a certain cross-period arbitrage income, and the effect of the strategy varies with the equilibrium spread calculation method, which shows that the arbitrage effect of the moving average method is better than that of the mean method. But under the same moving average equilibrium spread calculation method, from the arbitrage yield, arbitrage trading times and arbitrage success rate and so on. There is no obvious difference between traditional arbitrage strategy and statistical arbitrage strategy. The conclusion of this paper can provide a theoretical reference for investors to carry out futures arbitrage trading. At the same time, it helps investors to catch the arbitrage opportunity in the market in the early stage of listing the latest treasury bond futures, and to obtain the investment income. To a certain extent, it helps the pricing of futures market to be more reasonable and promotes the healthy and stable operation of China's futures market.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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