本文關鍵詞： 交易策略 股指期貨 計算實驗金融 評測體系　出處：《天津大學》2012年碩士論文　論文類型：學位論文

【摘要】：2010年4月16日，我國滬深300股指期貨合約正式上市交易，標志著我國股票市場與股指期貨市場并存的跨市場結構初步形成，推動了資本市場的多元化變革。隨著股指期貨的推出，市場中的投資品種和交易策略增多，分析研究不同交易策略的優(yōu)劣，既能為投資者提供投資決策的依據，也能為監(jiān)管機構提供監(jiān)督管理的參考，具有很好的現實意義。 本文采用新興的計算實驗金融方法，使用融合股票和股指期貨市場的跨市場計算實驗金融平臺，進行仿真交易實驗，獲得5秒鐘高頻交易數據，分析市場中價值投資、技術交易、流動性交易和套利交易這四類交易策略的收益、風險、資本占用和沖擊成本，構建股指期貨交易策略評測的體系框架。 相比于之前的研究，本文在研究方法上采取了新興的計算實驗金融方法，在研究內容上不只是關注單一策略的盈利能力，而是綜合考量多種交易策略的各個方面，構建股指期貨交易策略評測的體系框架，具有一定的創(chuàng)新性。 研究發(fā)現，價值投資各方面表現良好，技術交易的風險較大，套利交易的資本占用量和沖擊成本較大，，噪音交易者的財富幾乎全部損失。所以，投資者應該充分分析市場信息，完善學習和預測機制，結合自身的情況，尋求收益和風險之間的平衡。監(jiān)管者要加強對投資者的教育，減少市場中的噪音交易者，避免投資者因為盲目投資而承受巨大的損失，保證市場的良性運作。
[Abstract]:In April 16th 2010, the Shanghai and Shenzhen 300 stock index futures contracts were officially listed and traded, marking the initial formation of the cross-market structure of the coexistence of the stock market and the stock index futures market in China. With the introduction of stock index futures, the number of investment varieties and trading strategies in the market has increased. The analysis and study of the advantages and disadvantages of different trading strategies can provide investors with the basis for investment decisions. Also can provide supervision and management for the regulatory body reference, has a good practical significance. In this paper, a new computational experimental financial method is adopted, and a cross-market computing experimental financial platform combining stock and stock index futures markets is used to carry out simulation trading experiments to obtain 5-second high-frequency trading data, and to analyze the value investment in the market. Technology trading, liquidity trading and arbitrage trading are the four types of trading strategies of income, risk, capital occupation and impact costs, to build the stock index futures trading strategy evaluation system framework. Compared with the previous research, this paper adopts a new computational experimental financial method in the research method. In the research content, it not only pays attention to the profitability of a single strategy, but also comprehensively considers all aspects of various trading strategies. It is innovative to construct the system framework of stock index futures trading strategy evaluation. The study found that the value investment performed well in all aspects, the risk of technology trading was higher, the amount of capital and impact cost of arbitrage trade was larger, and the wealth of noise traders was almost all lost. Investors should fully analyze market information, improve learning and forecasting mechanisms, and combine their own situation to find a balance between returns and risks. Regulators should strengthen the education of investors and reduce noise traders in the market. Avoid investors because of blind investment and bear huge losses, to ensure the sound operation of the market.
【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【引證文獻】

相關碩士學位論文 前1條

1 任立明;滬深300300股指期貨價差交易策略[D];山西財經大學;2015年

本文編號：1496918