期货交易维持保证金设定模型构建及其应用研究

发布时间：2018-04-23 14:21

本文选题：期货交易维持保证金 + SV-M模型　；参考：《湖南大学》2014年硕士论文

【摘要】：伴随着金融全球化进程,期货市场间的暴涨暴跌联动效应加大。作为期货市场防范风险的第一道门槛,交易维持保证金对期货市场乃至整个资本市场而言都至关重要。期货交易维持保证金贯穿于整个期货交易过程,且其效果关系到期货市场的稳定性和效率。本文分别基于单个期货合约和期货组合两个视角,沿着期货交易维持保证金设定模型的构建、期货交易维持保证金的设定以及期货交易维持保证金设定效果的评价这一路径展开。就单个期货合约的交易维持保证金设定而言,本文考虑到常用的收益率序列遗漏盘中价格变动讯息,以沪深300股指期货5分钟高频数据为基础,结合期货操作实务特点,构造多头和空头的日内最大损失率序列,提出一个新的波动率测度即日内最大损失率方差,并将随机波动均值内(SV-M)模型、极值理论的超阈值(POT)方法和幂谱风险测度(PSRM)方法相结合,构建一个新的维持保证金水平设定模型(即SV-M-POT-PSRM模型),据此分别进行多头和空头维持保证金水平的设置。实证研究证实,相较于GARCH-M-VaR, GARCH-M-POT-VaR, SV-M-VaR和SV-M-POT-VaR模型,无论是样本内还是样本外,在谨慎性指数(PI)以及平均过高要价(OCI)方面,SV-M-POT-PSRM模型的优越性明显,说明基于该模型设定的交易维持保证金既能有效防控风险,又能减少被占用资金,从而使资金使用效率得以显著提高。考虑到在期货操作实务中投资者倾向于采取组合投资策略,往往持有期货合约组合以分散和对冲风险,因此仅仅孤立地对单个期货合约的交易维持保证金进行研究显然是片面的,而需要基于期货组合的层面考虑交易维持保证金的设定。鉴于此,本文将多元t-Copula模型、POT方法以及PSRM方法相结合,构建一个新的期货组合交易维持保证金设定模型(即多元t-Copula-POT-PSRM模型)。从实证结果来看,在PI值和OCI值方面,多元t-Copula-POT-PSRM模型均优于现行的线性相加模型,尤其是在OCI方面,该模型使样本内和样本外OCI值大幅降低,表明其既能有效地防范风险,又能降低机会成本。
[Abstract]:With the development of financial globalization, the linkage effect between futures markets is increasing. As the first threshold for the futures market to guard against risk, it is very important for the futures market and even the whole capital market to maintain the margin. Futures trading maintains margin throughout the futures trading process, and its effect relates to the stability and efficiency of futures market. Based on the perspective of single futures contract and futures combination, this paper constructs the model of margin setting for futures trading. The path of setting up the margin for futures trading and evaluating the effect of the margin setting for futures trading is carried out. With regard to the setting of the trading margin for a single futures contract, this paper takes into account the fact that the usual yield series omits intraday price change information, based on the 5-minute high frequency data of Shanghai and Shenzhen 300 stock index futures, and combining with the practical characteristics of futures operation. In this paper, we construct a series of intraday maximum loss rates for long and short positions, and propose a new volatility measure for the variance of the maximum loss rate in the day. Combined with the power spectrum risk measurement (PSRM) method, a new model of maintaining margin level (SV-M-POT-PSRM model) is constructed. According to this model, the long and short margin levels are set up respectively. The empirical study proves that compared with GARCH-M-VaR, GARCH-M-POT-VaR, SV-M-VaR and SV-M-POT-VaR models, the SV-M-POT-PSRM model is superior to the GARCH-M-POT-VaR, SV-M-VaR and SV-M-POT-VaR models in terms of the cautious index (Pi) and the average asking price (OCII). It is shown that the margin set up based on the model can prevent and control risks effectively and reduce the occupied funds, thus improving the efficiency of the use of funds significantly. Considering that in the practice of futures operations, investors tend to adopt a portfolio investment strategy, often holding futures contract portfolios to diversify and hedge risks, Therefore, it is obvious that it is one-sided to study the trading maintenance margin of a single futures contract in isolation, and it is necessary to consider the setting of the trading maintenance margin based on the level of futures portfolio. In view of this, this paper combines the multivariate t-Copula model pot method with the PSRM method to construct a new futures portfolio trading margin setting model (i.e. multivariate t-Copula-POT-PSRM model). From the empirical results, the multivariate t-Copula-POT-PSRM model is superior to the existing linear additive model in Pi value and OCI value, especially in the aspect of OCI. The model can significantly reduce the OCI value within and outside the sample, which shows that it can effectively prevent the risk. It can also reduce the opportunity cost.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F724.5;F224

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