股指期货市场备用保证金度量方法的研究

发布时间：2018-02-25 01:29

本文关键词： 股指期货备用保证金回望期权蒙特卡洛模拟　出处：《山东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：股指期货市场实行保证金交易，交易者可以用少量的保证金进行较大金额的交易，但同时也衍生出极大的风险。保证金制度是股指期货市场预防风险的制度之一，有很多学者对初始保证金和变动保证金进行了研究，但是这两者关注的都是价格的日内波动，备用保证金预防的是整个持有期间的价格波动风险，对于投资者来说更有实际意义，本文正是基于这一点研究股指期货市场的备用保证金。基于备用保证金求解和回望期权定价的相似的路径依赖性，本文用R软件编写蒙特卡洛模拟的程序并结合真实的样本数据给回望期权定价进而求解备用保证金，由于广义双曲分布比正态分布能更好地描述金融市场收益率的尖峰肥尾现象，本文在进行蒙特卡洛模拟时基于两种不同的分布—正态分布和t分布（广义双曲分布的特殊形式），，观察求出的备用保证金的区别。本文以沪深300指数为样本数据进行实证分析主要得出以下两个结论：（1）基于正态分布进行蒙特卡洛模拟计算出来的备用保证金比基于t分布计算出来的备用保证金少，也就是说投资者如果按正态分布下计算的结果预留备用保证金的话，有可能使投资者面临爆仓风险。（2）证实了持有空头需要预留的备用保证金比多头需要预留的备用保证金要多。
[Abstract]:In the stock index futures market, margin trading allows traders to trade a large amount of money with a small amount of margin, but at the same time it also gives rise to great risks. Margin system is one of the systems for preventing risks in the stock index futures market. Many scholars have studied the initial margin and the change margin, but both are concerned with intraday price fluctuations, and reserve margin prevents the risk of price volatility over the entire holding period. This paper is based on this point to study the reserve margin of stock index futures market. Based on the similar path dependence between standby margin solution and lookback option pricing, this paper uses R software to write Monte Carlo simulation program and combine the real sample data to calculate the standby margin. Because the generalized hyperbolic distribution can better describe the peak and fat tail phenomenon of the financial market yield than the normal distribution, In this paper, based on two different distributions-normal distribution and t distribution (the special form of generalized hyperbolic distribution), the difference of margin margin is observed. In this paper, the Shanghai and Shenzhen 300 index as a sample data for empirical analysis, the main conclusions are as follows:. 1) the margin reserve calculated by Monte Carlo simulation based on normal distribution is less than that calculated by t distribution, that is, if investors reserve reserve margin according to the results calculated under normal distribution, It could expose investors to the risk of a breakout. 2) it is confirmed that there is more reserve margin to be set aside for short positions than for long ones.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

【参考文献】