GTA012007_非同步交易下利用开盘价进行期现套利模型.docxVIP

“2014年大学生金融建模大赛”成果展示题 目：非同步交易下利用开盘价设计的期现套利模型参赛队号：012007学 校：四川大学2014年05月30日非同步交易下利用开盘价设计的期现套利模型摘 要股指期货期现套利是指利用股指期货、现货市场存在的不合理定价，赚取差价的投资方式。然而随着我国股指期货市场的成熟，依靠基差的“守株待兔式”的套利机会越来越少，投资者应该从交易策略进行突破来增加套利成功机会。股指期货市场在大多数国家都实行早开盘和晚收盘的交易制度，经学者研究发现股指期货早开盘15分钟价格走势对现货开盘15分钟、30分钟价格走势具有较强指导作用。本文希望基于1分钟高频数据建立模型，研究期货开盘价与现货开盘价的相关关系，利用提前产生的期货开盘价（9:15）对现货开盘价（9:30）进行预测，并在价格发生较大偏差时，以较低的申报价格参与现货集合竞价，开盘做多现货，同时卖空期货，进行无风险套利。关键词：期现套利，开盘价，GARCH模型，高频数据Stock index futures arbitrage using opening price in non-synchronous tradingAbstractStock index futures arbitrage is an investment way utilizing unreasonable pricing between stock index future market and spot market to make price difference.However,with the development of stock index future market in our country,the arbitrage opportunity depending on futures basis is becoming less and less ,thus making investors pay more attention to trading strategies to increase arbitrage opportunities.In many countries,stock index future markets adopt the trading system of early opening and late closing.After study found that the stock index futures prices opening 15 minutes earlier has a strong guiding role to spot trading prices opening 15 minutes and 30 minutes.Based on one-minute high frequency data,this paper constructs models to research the correlation between opening price of Stock index futures and spots.Using opening price of Stock index futures produced in advance(9:15) predicts opening price of spots(9:30).When there is great deviation of the price,investors participate call auction with low value declared,buy spots and oversell futures at the same time,gaining risk-free arbitrage.Key Words：Stock index futures arbitrage, opening price, GARCH model, high frequency data目录1 选题背景22 模型介绍32.1 模型背景32.2 模型假设42.3 模型参数42.4 模型流程图42.5 模型意义63 内容介绍63.1 步骤163.1.1数据预处理63.1.2步骤说明63.2 步骤283.2.1理论说明83.2.2步骤说明83.3 步骤3103.4 步骤4114 结 论12参考文献131 选题背景2010年4月16日，沪深300股指期货的推出开辟了我国股指期货市场的新纪元，这是国内证券市场一件具有重大意义的里程碑事件，它提供了做空机制，弥补了市场运行机制的重大缺陷，也为投资者提供了多种可应用的投资策略。由于股指期货具有交易成本低