股指期货程序化交易策略研究

发布时间：2018-03-17 19:45

本文选题：“投资选时策略”　切入点：市场有效性　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着沪深300股指期货的推出和金融市场不断完善，我国投资者的投资理念逐渐趋于成熟和理性化，投资行为由主观情绪主导转变为客观理性的投资，而程序化交易凭借其客观理性的交易特性逐渐进入中国金融证券市场。目前我国程序化交易策略处于快速发展的起步阶段，期货市场已有一部分投资机构使用程序化交易策略进行交易。因此深入研究程序化交易策略在金融工程学术研究上有重要意义，，在实际市场投资中有很高的研究价值。本文基于计量经济学理论和沪深300股指期货市场的特点构建“投资选时策略”程序化交易策略模型，主要研究内容如下：（1）概况性的介绍程序化交易策略的设计思路，并对我国沪深300股指期货市场进行有效性检验；（2）基于回归模型提出“速度”与“加速度”指标，对“速度”的聚集性进行研究，构建“投资选时策略”计量模型；（3）结合金融数理知识对“投资选时策略”计量模型在不同假设条件下的期望收益率进行推导，并实证一阶自回归模型假设条件下策略的收益情况；（4）应用“投资选时策略”计量模型进行市场实证，对模型结果进行检验，并使用风险价值VaR指标对策略进行评价。研究发现我国沪深300股指期货市场是无效的，我们提出的“投资选时策略”模型适合该市场，且该模型选择的买点卖点的正确判断率超过50%。市场实证外推测试结果表明，“投资选时策略”模型为我们带来超过100%的年平均收益率，且VaR评估指标指出该策略每次交易遭受损失超过20000元的概率小于5%。说明“投资选时策略”能使投资者不遭受较大损失且使投资者获得较大收益。
[Abstract]:With the introduction of Shanghai and Shenzhen 300 stock index futures and the continuous improvement of financial market, the investment concept of Chinese investors tends to be mature and rational, and the investment behavior changes from subjective emotion to objective rational investment. The procedural transaction gradually enters the Chinese financial securities market by virtue of its objective and rational trading characteristics. At present, our country's procedural trading strategy is in the initial stage of rapid development. Some investment institutions in the futures market have used programmed trading strategies to trade, so it is important to study the procedural trading strategies in the academic research of financial engineering, and has a high research value in the actual market investment. Based on econometrics theory and the characteristics of Shanghai and Shenzhen 300 stock index futures market, this paper constructs a programmed trading strategy model of "investment timing strategy". The main research contents are as follows:. 1) introduce the design idea of programmed trading strategy, and test the validity of CSI 300 stock index futures market; (2) based on the regression model, this paper puts forward the index of "velocity" and "acceleration", studies the agglomeration of "velocity", and constructs an econometric model of "investment timing strategy"; (3) combining with the financial mathematical knowledge, the paper deduces the expected return rate of the "investment timing strategy" model under different assumptions, and proves the return of the strategy under the assumption of the first-order autoregressive model. 4) using the "investment timing strategy" econometric model to test the results of the model, and using the VaR index of risk value to evaluate the strategy. The study found that the Shanghai and Shenzhen 300 stock index futures market is invalid, and the "investment timing strategy" model proposed by us is suitable for the market. The result of market empirical extrapolation test shows that the "investment timing strategy" model brings us an annual average rate of return of more than 100%. Moreover, the VaR evaluation index indicates that the probability of losing more than 20000 yuan per transaction is less than 5%. It shows that the "investment timing strategy" can make investors not suffer large losses and make investors gain more income.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224;O212.1

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