股票指数期货交易策略及风险管理研究金融工程专业论文.docxVIP

摘 摘 要 本文基于无套利理论对股票指数期货进行定价，给出了股票指数期货实 际的无套利数学模型，根据该模型可得出：套利者应该根据自身的套利成本判 断是否有套利机会，在进行套利交易时应该灵活地运用本文给出的套利交易 的变形策略，使套利交易收益更高。 本文利用多智能体系统不确定性结论合成方法(姒BM)，将股票指数期货套 期保值最小风险保值比率计算的历史数据分析法和预测法进行了综合处理，进 而提高股指期货最小风险保值比率的可靠性。 基于资本资产的定价模型建立由 风险溢价、基差风险溢价和系统风险溢 价三部分构成的股票指数期货套期保值原理数学模型，该模型的运用考虑在规 避掉系统风险的前提下，如何使套期保值利润最大化，该模型不仅从本质上反 映套期保值实际意义，而且还是传统套期保值理论与现代组合投资套期保值 理论的有机结合。 本文采用了BP人工神经网络方法，对股票指数期货投机交易中的期货合约 价格进行预测，并经过实证得到比较满意的结果。 运用VaR技术测量了美国SP500股指期货的市场风险，得出在正常市场条 件下，监管部门和交易者可以根据臼VaR值来调整监管策略和风险资本金的准 备率，为我国将来推出股票指数期货交易提供～套有效的风险度量的方法。 根据对其他国家和地区股票指数期货监管模式的优劣分析并结合我国的特 点，本文构建了我国股票指数期货市场应该采用的一元三级监管制度及其监管 措施，为我国进行股票指数期货交易的风险管理进行了前瞻性的研究。 关键词：股票指数期货 套利套期保值投机风险管理 AbstractStock Abstract Stock index futures pricing by no—arbi订age theory and all actual no—·arbitrage mathematical model of stock index futures was given in this dissertation，Arbitrager should find out whether there are some opportunities according to their arbitrage cost， To get a maximal income they should use transformative arbitrage strategy flexibly which was given in the dissertation． nle Multi—Aptitude Body Uncertain Composed Methods are used to deal wim the historical data and forecast ways in which the minimum variance hedge ratio is calculated synthetically，in order to foster calculational reliability of the minimum variance hedge ratio in hedging of stock index futures The mathematical hedging model which is consists ofB risk premium，basis risk premium and systematic risk premium is built based on Capital Assets Price Model． The model is used to increase income under the condition which a systematic risk is reduced，not only the model reflects the actual meaning of hedging of stock index futures，but also combines conventional hedging theory and modem combinatorial hedging theory． nle BP neural networks method fire introduced to forecast futures price in a speculating trade of stock index futures and satisfactory results are obtained in empirical studies． vaR iS used to measure the market risk of America SP500 stock inde