股指期货套期保值和套利策略研究金融工程专业论文.docxVIP

中文摘要会给出A股市场的可转移Alpha策略的研究，包括运用变量选择的方法建立指 中文摘要 会给出A股市场的可转移Alpha策略的研究，包括运用变量选择的方法建立指 标选择模型，根据持股集中度建立封闭式基金的投资策略，研究基于封闭式基金 折价率的策略，这些都是股指期货推出后可行的投资策略。 在第四篇中，主要介绍股指期货市场的风险管理。对于股指期货这样一个风 险比较大的品种，如何来对其风险进行管理，我们将在第七章中进行详尽的研究。 首先介绍和分析沪深300股指期货的风险管理措施，然后介绍LCH．Cleamet是 如何管理市场风险的，并运用CPSS／IOSCO的准则对中国金融期货交易所进行 评估，最后，给出SPAN系统的介绍。 关键字：股指期货； 套期保值； 最小角回归；Lasso； 可转移Alpha； 持股集中度； SPAN Ⅱ AbstractAbstract Abstract Abstract Futures contract is a standardized contract between two parties to buy or sell a specified asset of standardized quantity and quality at a specified future date at a price agreed today．And exchange will specify these items．The underlying of stock index future is index future，and stock index future has almost 30 years history．China releases the stock index futures in AI：Iril 1 6tlI，20 1 0． Stock index future will have big effect on the Chinese stock market．It Can short and also it is a tool for risk management．Research should be done on how tO use stock index future and the reasonable hedge ratio．Also，arbitrager is the important participant of the market and provides liquidity to the market，SO we should study the strategies of arbitrager． Stock index future is product with huge risk，SO risk management is very important． We have four parts in this thesis，and the structure and details are as follows： In the first part,we give the background of stock index future．Because it is the first time that China release stock index future，we should know the background of stock index future．We will introduce the calculation method of stock index first,and study the important characters of China major stock market index，give the detail calculation method of HS300．Then we give some background of stock index future and short rules． In the second part,we mainly discuss hedge methods．How to give the hedge ratio is the core problem．In Chapter 2，we summary the estimation methods of hedge ratio， and use HS300 simulation stock index future data to compare．In Chapter3，we ‘consider the expira