基于Black-Scholes方程的股指期货期现套利模型及交易算法

发布时间：2018-01-31 16:01

本文关键词： 期现套利高频交易交易算法股指期货　出处：《计算机应用》2013年S1期 　论文类型：期刊论文

【摘要】：为了适应股指期货期现套利高频交易需要,解决传统协整理论不能很好捕捉交易信号的问题,构建了基于Black-Scholes方程的期现套利模型及算法。首先使用修正跟踪误差指标确定交易所交易基金投资组合最优化权重并用广义既约梯度算法求解;然后构建了基于Black-Scholes方程的套利模型和算法交易系统。实证检验显示,该算法实现了1.52%的单日净收益率和5%的止损发生率,且止损发生率与波动性正相关。证明该算法在市场条件稳定的条件下能够很好地捕捉交易信号和控制交易行为,如果市场发生较大异常波动,算法的适用性将受到影响。
[Abstract]:In order to meet the needs of high-frequency arbitrage trading in stock index futures period, we can solve the problem that the traditional co-collation theory can not capture the trading signals very well. Based on Black-Scholes equation, the paper constructs the model and algorithm of term arbitrage. Firstly, the modified tracking error index is used to determine the optimal weight of the portfolio of exchange-traded funds and the generalized reduced gradient is used to calculate it. Method; Then the arbitrage model based on Black-Scholes equation and the algorithm trading system are constructed. The empirical test shows that the algorithm achieves a daily net return of 1.52% and a stop loss of 5%. And the occurrence rate of stop loss is positively correlated with volatility. It is proved that the algorithm can capture the trading signal and control the trading behavior well under the condition of stable market conditions, if there is a large abnormal volatility in the market. The applicability of the algorithm will be affected.
【作者单位】：河海大学商学院;
【分类号】：F832.51;F224
【正文快照】： 0引言高频交易(也称算法交易)是随着高速计算机发展和相关经济理论进步而发展起来的新兴领域。股票指数期货与交易型开放式指数基金(Exchange Traded Fund,ETF)之间的套利算法开发是高频交易研究的重点方向。Cornell等[1]构建的期货持有成本模型为两者之间的套利奠定了理论基

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