本文選題：套利　切入點：股指期貨　出處：《上海交通大學》2013年碩士論文　論文類型：學位論文

【摘要】：股指期貨和融資融券的推出標志著中國進入了做空時代，國債期貨、指數(shù)期權和個股期權的籌備更會進一步推動金融衍生品的發(fā)展。在此背景下，套利策略不斷發(fā)展壯大，同時也吸引著越來越多學者和投資者的關注。基于中國市場的套利策略研究，具有一定的理論和應用價值。 本文立足國內金融市場，研究了股指期貨期現(xiàn)套利、Alpha套利以及國債期貨基差套利等一系列套利策略；由于沖擊成本的確定在套利策略實施中具有重要意義，因此本文基于股指期貨上市以來的高頻數(shù)據(jù)，實證分析了股指期貨的流動性和沖擊成本，為確定套利策略隱性成本提供實際的數(shù)據(jù)支持；最后結合程序化交易和套利實踐，從行情處理和交易報盤兩方面給出一些優(yōu)化的技術方案。具體而言，本文主要包含以下工作： (1)股指期貨的期現(xiàn)套利和成份股分紅的影響。本文詳細分析了套利策略的現(xiàn)金流，根據(jù)無套利定價原則，推導出考慮了市場成本后的正向套利邊界。為了研究分紅對于套利策略的影響，本文根據(jù)實際數(shù)據(jù)分析近年來成份股的分紅規(guī)律和股指期貨上市以來期現(xiàn)收斂的情況，給出如下結論：對于持倉周期較短的套利持倉，根據(jù)上市公司公告逐月估計分紅率比使用平均年化分紅率更為合理。 (2) Alpha套利策略實施流程和基于VaR方法確定預留現(xiàn)金比率。本文給出了Alpha套利實施的流程，包括基于多因子模型的股票投資組合創(chuàng)建、期貨對沖比率和頭寸的確定、執(zhí)行中由β變化和期貨保證金追加而帶來的動態(tài)調整和最終平倉等。通過實際分析股指期貨自上市以來的日回報數(shù)據(jù)，采用歷史模擬VaR方法來確定預留現(xiàn)金比率，控制風險的同時加強資金的利用率。 (3)綜合多角度的股指期貨流動性實證定量分析。股指期貨流動性分析對于套利策略中沖擊成本的確定具有重要意義。本文定義了交易活躍度（交易空窗比例）、瞬間波動和價差等指標，對股指期貨流動性進行了多角度的定量分析，為確定套利策略隱性成本提供數(shù)據(jù)支持。 (4)國債期貨前瞻和程序化交易技術優(yōu)化。針對即將推出的國債期貨，本文借鑒了國外相關理論和實踐，分析了國債期貨轉換因子、最廉價可交割債券等核心概念，介紹了國債期貨基差套利基本原理。最后結合中國市場實踐，探討了程序化交易與套利策略的整合，，從高速行情和自動交易兩方面提出程序計算ETF的IOPV、拆單算法、最小單位逐次對沖下單等優(yōu)化技術方案。
[Abstract]:The introduction of stock index futures and margin financing indicates that China has entered an era of short selling, and the preparation of treasury bond futures, index options and individual stock options will further promote the development of financial derivatives. At the same time, it also attracts more and more attention of scholars and investors. The research of arbitrage strategy based on Chinese market has certain theoretical and practical value. Based on the domestic financial market, this paper studies a series of arbitrage strategies, such as Alpha arbitrage in stock index futures period and arbitrage of treasury bond futures, because the determination of impact cost is of great significance in the implementation of arbitrage strategy. Therefore, based on the high frequency data of stock index futures listed, this paper empirically analyzes the liquidity and impact cost of stock index futures, and provides practical data support for determining the implicit cost of arbitrage strategy. Finally, combined with programmed trading and arbitrage practice, This paper gives some optimized technical schemes from two aspects of quotation processing and trading offer. Specifically, this paper mainly includes the following work:. This paper analyzes the cash flow of arbitrage strategy in detail, according to the principle of no arbitrage pricing, In order to study the effect of dividend on arbitrage strategy, this paper analyzes the law of dividends and the convergence of stock index futures in recent years according to the actual data. The conclusions are as follows: for arbitrage positions with short holding period, it is more reasonable to estimate the dividend rate monthly than to use the average annual dividend rate according to the announcement of the listed company. 2) the implementation process of Alpha arbitrage strategy and the determination of reserved cash ratio based on VaR method. This paper presents the implementation process of Alpha arbitrage, including the creation of stock portfolio based on multi-factor model, the determination of futures hedge ratio and position. Through the actual analysis of daily return data of stock index futures since listing, the paper uses historical simulation VaR method to determine the reserved cash ratio. Control the risk while strengthening the utilization of funds. The liquidity analysis of stock index futures is of great significance to the determination of impact cost in arbitrage strategy. This paper defines the degree of transaction activity. Indicators such as volatility and spread, The quantitative analysis of stock index futures liquidity from different angles is carried out to provide data support for determining the implicit cost of arbitrage strategy. (4) Forward-looking of treasury bond futures and optimization of procedural trading technology. In view of the forthcoming treasury bond futures, this paper draws lessons from relevant theories and practices abroad, and analyzes the core concepts of the conversion factor of treasury bonds futures, the cheapest deliverable bonds, etc. This paper introduces the basic principle of arbitrage of base difference of national debt futures. Finally, combining with the practice of Chinese market, the integration of programmed trading and arbitrage strategy is discussed. Minimum unit successive hedging orders and other optimization technical solutions.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.5

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