《股指期货量化投资模型分析》-毕业论文.doc

PAGE 毕业设计（论文） 题 目 股指期货量化投资模型分析 姓 名 学 号 专业班级 统计0701班 所在学院 计算分院 指导教师（职称） （讲师） 二○一一 年 五 月 十五 日 股指期货量化投资模型分析 【摘要】 随着股指期货上市后的活跃度来看，该市场有很大的发展空间。本文从量化投资角度研究股指期货的投机交易。首先从时间序列角度对沪深300的价格做预测，了解沪深300整体价格走势。然后根据历史数据对行情进行分析，应用股指期货日内和隔夜策略进行模拟测试，并分析这两个模型的可行性。在建立模型后，用时间序列的曲线估计进行收益率预测，评估日内股指策略的收益情况。接着根据波动率模型和指数加权移动平均模型对沪深300指数的收益率进行预测风险。最后以风险价值VaR作为风险管理的一种手段，采用蒙特卡洛模拟法预测VaR的值。最后从操作平台开发角度分析了IT在股指期货量化投资模中的应用及发展前景。本文研究的创新在于股指日内和隔夜策略在实际交易中的应用，该模型在实际交易中有较高的收益和胜算率，具有一定的稳定性。 【关键词】 股指期货，交易系统，风险管理，VaR模型，时间序列 Analysis of Stock index futures quantizing investments model 【Abstract】 Along with the stock index futures listed a years of active degree to see, this market has very big development space. This article from quantitative investment research the stock index futures speculative trading. First, from the perspective of time series forecast shenzhen 300‘s price and understand the overall price trend of shenzhen 300. Then applying a stock index futures days and overnight strategy go to test according to historical data, analysis the feasibility of these two models. After the established model, forecast for yield rate by using time series, evaluate the yield of stock index days strategy.And this paper did risk prediction by using volatility and index weighted moving average model. Finally, with risk value VaR as a means of risk management, use Monte Carlo simulation method to predict the value of VaR. At last, from the working platform point, analysis the IT technology in quantitative investment model in stock index futures in the application and development prospects. This paper studies innovation points is point to days in practical strategies and overnight strategy with the applications deal. This model in actual transactions has higher Income and Prospect of success rate and has certain stability rate. 【Key Words】 stock index futures，trading system，risk management ，V