股指期现套利建模及交易实现研究
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摘要
期现套利的交易实现离不开理论建模、系统设计以及风险识别和控制这三方面的支撑。本文围绕期现套利交易实现的这三个主要问题,在结合我国证券市场特点的前提下,运用分红密度导向、动态成本跟踪及现货组合构造等方法对股指期货的期现套利理论模型进行了优化;并通过对交易流程和交易系统有针对性的设计,对这一优化模型在交易实现中的运用进行了深入研究。
另外,针对交易实现过程中面临的实时监控、批量委托等主要问题,本文提出了分布式、推送式的实时数据显示模式以及优化后的批量委托方法,从微观设计层面为期现套利的交易实现提供了解决方案。
在文章的最后,本文还针对交易过程中的风险进行了分类讨论,并给出了识别和防范这些风险的方法。从而为期现套利的交易实现提供了进一步的安全保障。
Carrying out of futures-cash arbitrage can not leave these three aspects: the theory modeling, the system design as well as the risk distinguishes and controls. The main body of this article is surrounding these three primal problems of futures-cash arbitrage. Based on stock market characteristic of our country, we optimized the arbitrage model by investigating frequency of bonus paid、tracking cost dynamically and discussing the way to construct a appropriate mimic portfolio. And by designing the trading flow and trading system, we also investigated the application of the optimized model.
Moreover, aiming at the problem of real-time monitoring and batch trading, this article gives the solution by push technology、distributed technology and optimized batch trading .These means give us a total solution of how to carry out a successful futures-cash arbitrage.
In article final, this article also gives a classified discussion aiming in the risk of trading process, and gave us a way to distinguish and against these risks.
另外,针对交易实现过程中面临的实时监控、批量委托等主要问题,本文提出了分布式、推送式的实时数据显示模式以及优化后的批量委托方法,从微观设计层面为期现套利的交易实现提供了解决方案。
在文章的最后,本文还针对交易过程中的风险进行了分类讨论,并给出了识别和防范这些风险的方法。从而为期现套利的交易实现提供了进一步的安全保障。
Carrying out of futures-cash arbitrage can not leave these three aspects: the theory modeling, the system design as well as the risk distinguishes and controls. The main body of this article is surrounding these three primal problems of futures-cash arbitrage. Based on stock market characteristic of our country, we optimized the arbitrage model by investigating frequency of bonus paid、tracking cost dynamically and discussing the way to construct a appropriate mimic portfolio. And by designing the trading flow and trading system, we also investigated the application of the optimized model.
Moreover, aiming at the problem of real-time monitoring and batch trading, this article gives the solution by push technology、distributed technology and optimized batch trading .These means give us a total solution of how to carry out a successful futures-cash arbitrage.
In article final, this article also gives a classified discussion aiming in the risk of trading process, and gave us a way to distinguish and against these risks.
引文
1.埃尔顿(Elton,E.J.)等:《现代投资组合理论与投资分析》(原书第7版),机械工业出版社
2.苏婵媛:《股指期货定价与期现套利分析——兼论沪深300股指的现货模拟策略》,《北方经济》2007(22)
3.曾海晖:《中国股指期货的特有风险及控制》,《南方金融》2007(6)
4.Antonios Antoniou,Gioia Pescetto,Antonis Violaris:《Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets》,《Journal of Business Finance & Accounting》2003(V.30No.5-6)
5.彭蕾、高增银:《美国证券市场程序化交易简介》,《集团经济》第163/164期
6.杜玉巍,王海航:《证券集中交易系统设计》,《计算机应用》2008-28(2)
7.张宗成、苏振华:《股指期货市场和股票市场价格关系及定价误差》,《华中科技大学学报》(自然科学版)2003(7)
8.易铁林:《论境外套期保值业务中保证金使用的效率与安全》,《华北金融》2006(01)
9.李国华:《股价指数修正计算的连续性问题研究—兼论中国股价指数的修正计算》,《首都经济贸易大学学报》2005(02)
10.肖逵:《对复制跟踪沪深300股票组合模型的探讨》,《中国农业银行武汉培训学院学报》2007(04)
11.马永开,唐小我:《基于跟踪误差的证券组合投资决策模型研究》,《系统工程理论与实践》2001(12)
12.党剑,方世圣:《股指期货实战解析:沪深300指数期货投资实务》,上海财经大学出版社
13.徐成贤,薛宏刚:《金融工程——计算技术与方法》,科学出版社
14.梁万泉:《股价指数期货市场与现货市场的关系》,《统计与决策》2007(11)
15.肖辉,鲍建平,吴冲锋:《股指与股指期货价格发现过程研究》,《系统工程学报》2006/04
2.苏婵媛:《股指期货定价与期现套利分析——兼论沪深300股指的现货模拟策略》,《北方经济》2007(22)
3.曾海晖:《中国股指期货的特有风险及控制》,《南方金融》2007(6)
4.Antonios Antoniou,Gioia Pescetto,Antonis Violaris:《Modelling International Price Relationships and Interdependencies Between the Stock Index and Stock Index Futures Markets》,《Journal of Business Finance & Accounting》2003(V.30No.5-6)
5.彭蕾、高增银:《美国证券市场程序化交易简介》,《集团经济》第163/164期
6.杜玉巍,王海航:《证券集中交易系统设计》,《计算机应用》2008-28(2)
7.张宗成、苏振华:《股指期货市场和股票市场价格关系及定价误差》,《华中科技大学学报》(自然科学版)2003(7)
8.易铁林:《论境外套期保值业务中保证金使用的效率与安全》,《华北金融》2006(01)
9.李国华:《股价指数修正计算的连续性问题研究—兼论中国股价指数的修正计算》,《首都经济贸易大学学报》2005(02)
10.肖逵:《对复制跟踪沪深300股票组合模型的探讨》,《中国农业银行武汉培训学院学报》2007(04)
11.马永开,唐小我:《基于跟踪误差的证券组合投资决策模型研究》,《系统工程理论与实践》2001(12)
12.党剑,方世圣:《股指期货实战解析:沪深300指数期货投资实务》,上海财经大学出版社
13.徐成贤,薛宏刚:《金融工程——计算技术与方法》,科学出版社
14.梁万泉:《股价指数期货市场与现货市场的关系》,《统计与决策》2007(11)
15.肖辉,鲍建平,吴冲锋:《股指与股指期货价格发现过程研究》,《系统工程学报》2006/04