本文選題：統(tǒng)計(jì)套利 + 協(xié)整��； 參考：《河北金融學(xué)院》2017年碩士論文

【摘要】：股指期貨是指將股票價(jià)格指數(shù)作為交易的標(biāo)的資產(chǎn),形成的標(biāo)準(zhǔn)化合約,是一種金融衍生產(chǎn)品。滬深300股票指數(shù)期貨以滬深300指數(shù)為標(biāo)的,具有較高的市場占有率,在同類產(chǎn)品中具有良好的代表性和穩(wěn)定的市場表現(xiàn),對于市場的周期性波動(dòng)有較好的反應(yīng)。本論文的目的在于發(fā)現(xiàn)投資機(jī)會,尋找并改進(jìn)能夠在實(shí)現(xiàn)投資者保值增值的同時(shí)穩(wěn)定市場的投資策略,因此將其作為研究對象,同時(shí)預(yù)測在未來期貨市場交易中定量投資策略將成為主流。滬深300股指期貨交易具有使用保證金交易制度、當(dāng)日無負(fù)債結(jié)算制度、合約有到期日、交易對象是標(biāo)準(zhǔn)化的期貨合約等特點(diǎn)。本文針對其特點(diǎn)研究利用股指期貨合約之間價(jià)差變動(dòng)的套利方法�；镜目缙谔桌ㄟ^構(gòu)建和對沖相同數(shù)量、相反頭寸、不同月份、相同的標(biāo)的合約來獲益。具體分為牛市套利、熊市套利和蝶式套利。統(tǒng)計(jì)套利是按照歷史數(shù)據(jù),運(yùn)用統(tǒng)計(jì)分析工具來研討價(jià)格變動(dòng)趨向是否穩(wěn)定及價(jià)差分布是否具有規(guī)律性。由價(jià)差中心化序列變動(dòng)情況得到套利區(qū)間出現(xiàn)的時(shí)機(jī)及概率,建立正確的止損邊界,以相對更小的風(fēng)險(xiǎn)博取更多收益的套利方式。在本論文中選取了滬深300指數(shù)期貨IF1007和IF1008合約1分鐘的高頻數(shù)據(jù),并經(jīng)過協(xié)整檢驗(yàn)構(gòu)建統(tǒng)計(jì)套利模型。具體的步驟是根據(jù)趨同性原則確定研究對象,由價(jià)差分布建立交易規(guī)則,制定進(jìn)出場信號和止損信號。股票指數(shù)期貨合約時(shí)間序列的價(jià)差序列的標(biāo)準(zhǔn)差隨時(shí)間變化而改變,具有時(shí)變方差的特征,因此利用GARCH模型描述殘差的條件異方差性,通過TARCH分析波動(dòng)沖擊的影響,建立價(jià)差中心化序列,確定止損閾值。本論文研究發(fā)現(xiàn)滬深300股指期貨存在統(tǒng)計(jì)套利機(jī)會,統(tǒng)計(jì)套利是幫助投資人在金融市場上尋求套利機(jī)會的一種分析方法,其基本原理是選取具有穩(wěn)定關(guān)系的價(jià)差序列,用統(tǒng)計(jì)分析方法估量出價(jià)差的均衡范圍及偏離概率分布,進(jìn)而對偏離價(jià)差進(jìn)行投資套利。券商和投資者能夠以適當(dāng)?shù)娘L(fēng)險(xiǎn)得到比無風(fēng)險(xiǎn)套利更多的收益。
[Abstract]:Stock index futures is a kind of financial derivative product, which takes the stock price index as the underlying asset and forms a standardized contract. Shanghai and Shenzhen 300 stock index futures have a high market share, and have a good representative and stable market performance in the same kind of products, and have a good response to the periodic fluctuations of the market. The purpose of this paper is to find out the investment opportunities, to find and improve the investment strategy that can stabilize the market while maintaining and increasing the value of investors, so we take it as the object of study. At the same time forecast in the future futures market trading quantitative investment strategy will become the mainstream. Shanghai and Shenzhen 300 stock index futures trading has the characteristics of using margin trading system, no debt settlement system on that day, and the contract has maturity date, and the trading object is the standardized futures contract, and so on. According to its characteristics, this paper studies the arbitrage method of the variation of price difference between stock index futures contracts. Basic intertemporal arbitrage benefits by building and hedging the same number of positions, different months, the same underlying contracts. Specifically divided into bull arbitrage, bear arbitrage and butterfly arbitrage. Statistical arbitrage is based on historical data, using statistical analysis tools to study whether the price trend is stable and whether the spread distribution is regular. The timing and probability of arbitrage interval are obtained from the variation of the spread centralization sequence, and the correct stop loss boundary is established, and the arbitrage way of obtaining more income with a relatively small risk is established. In this paper, the high frequency data of IF1007 and IF1008 contracts of CSI 300 index futures are selected, and the statistical arbitrage model is constructed by cointegration test. The specific steps are to determine the object of study according to the principle of convergence, to establish the trading rules by the spread of the spread, and to formulate the signals of exit and exit field and stop loss. The standard deviation of time series of stock index futures contracts varies with time and has the characteristic of time-varying variance. Therefore, the conditional heteroscedasticity of residual is described by GARCH model, and the influence of fluctuation shock is analyzed by TARCH. The central sequence of the price difference was established to determine the stop loss threshold. This paper finds that there are statistical arbitrage opportunities in Shanghai and Shenzhen 300 stock index futures. Statistical arbitrage is an analytical method to help investors to seek arbitrage opportunities in financial markets. Its basic principle is to select a stable spread sequence. The equilibrium range and deviation probability distribution of the spread are estimated by the statistical analysis method, and then the investment arbitrage of the deviation price difference is carried out. Brokers and investors can earn more than risk-free arbitrage at the right risk.
【學(xué)位授予單位】：河北金融學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.5

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本文編號：1885653