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股指期货期现套利中的现货构建和实证研究.pdf文档全文免费阅读、在线看

发布时间:2016-12-22 20:16

  本文关键词:股指期货期现套利中的现货构建与实证研究,由笔耕文化传播整理发布。


股指期货期现套利中的现货构建与实证研究 A ResearchofStockonhand and Demonstration SetupArbitrage Abstract and of business theestablishment Followingby developmentglobal,international moreandmore role.Asbrandnew business environment,securities important product, plays researchofStock Futuresattractattention.Thisarticledoesademonstration StorckIndex big IndexFutures’listmodeland price arbitrage. has4kinds:Across a of arbitrage,Acrossarbitrage,Acrosstype Arbitrage city period end now expectarbitrage. arbitrage investmentmixturebe咐een now isthe whichsimulate Expectarbitragearbitragetype and isthe to indomesticstock StockIndexFuturesStockon hand,thisapttypearbitrage to essentialofarbitrationresearchisto how farthe market.The study priceproperly.So from iscostof otheris researchoffist modelis twosides,one model,the price CalTy ofstockindexfutures theformerismoreuniversal.Actual theory,and price always anticipate fromit’snominal costof modelisbasedon market departure price,becauseCalTy perfect the of differenceiscalled whether environment,the arbitrage mispricing.So opportunity to and lead ornotandit’s isrelated frequencyrange.To existing space mispricing’s tomarket’s haveso mainisbecausethe tomodeldue reasons,the warp mispricingmany non-perfect. articleisbaseoilcost thefactors conclude This ofcarrymodel,,analyzeofmispricing,to thelistn】icemodelunder thestockonhandmistureblue market,andbring print non-perfect stockindexfutures.At tothe the whichsimulate conclustion,toverify last,according in market. domestic arbitrageopportunity onhand Words."StockIndexFutures:Stock Key setup;Arbitrage ―II― 独创性说明 作者郑重声明:本硕士学位论文是我个人在导师指导下进行的研究工 作及取得研究成果。尽我所知,除了文中特别加以标注和致谢的地方外, 论文中不包含其他人已经发表


  本文关键词:股指期货期现套利中的现货构建与实证研究,由笔耕文化传播整理发布。



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