| 基于平稳序列的沪深300股指期货最优套利点研究 |
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| 引用本文： | 槐真,肖春来.基于平稳序列的沪深300股指期货最优套利点研究[J].数学的实践与认识,2013,43(6). |
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| 作者姓名： | 槐真 肖春来 |
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| 作者单位： | 1. 北方工业大学经济管理学院,北京,100041
2. 北方工业大学理学院,北京,100041 |
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| 摘 要： | 基于正态分布和t分布的平稳序列前提,给出了沪深300股指期货跨期套利的最优套利点确定方法.通过对沪深300股指期货不同合约之间的差价进行平稳性检验,发现大部分差价具有平稳性,所以基本适用于给出的最优套利点分析方法.经过对5个平稳差价序列的最优套利点分析,发现△P_(12-07)=IF_(1212)-IF_(1207)和△P_(12-09)=IF_(1212)-IF_(1209)的套利期望收益较大,应该成为沪深300股指期货跨期套利的主要关注对象.
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| 关 键 词： | 最优套利点 平稳 正态分布 t分布 |
The Optimum Arbitrage Point Study on the Basis of Stationary CSI 300 Index Futures |
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| HUAI Zhen
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XIAO Chun-lai.The Optimum Arbitrage Point Study on the Basis of Stationary CSI 300 Index Futures[J].Mathematics in Practice and Theory,2013,43(6). |
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| Authors: | HUAI Zhen XIAO Chun-lai |
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| Abstract: | Based on Normal distribution and T distribution stationary series,the optimum arbitrage point determining method of CSI 300 index futures has been given.According to stationary test on different contracts,most of price margin series is stationary.Therefore, the methods have been given from this paper almost suit for any circumstances.Analysis on 5 stationary price margins' optimum arbitrage points,there are two series(ΔP_(12-07) = IF_(1212)- IF_(1207),ΔP_(12-09)= IF_(1212)-IF_(1209)) have higher expected revenue,which should be paid more attention among CSI 300 index future researches. |
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| Keywords: | optimum arbitrage point stationary normal distribution t distribution |
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