基于我国股指期货与ETF高频套利策略的研究-金融专业论文.docxVIP

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基于我国股指期货与ETF高频套利策略的研究-金融专业论文.docx

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万方数据万方数据目录 1 绪论································································································ 1 1.1 研究背景及意义··········································································1 1.1.1 研究的背景········································································ 1 1.1.2 问题的提出········································································ 1 1.1.3 研究的意义········································································ 2 1.2 本文的创新点·············································································3 1.3 研究方法与内容框架····································································3 1.3.1 本文内容框架····································································· 3 1.3.3 国外研究现状····································································· 4 1.3.2 国内研究现状····································································· 7 2 统计套利概述···················································································· 9 2.1 统计套利的定义··········································································9 2.2 统计套利的种类········································································ 10 2.3 统计套利的风险········································································ 10 3 交易模型及交易信号的设置································································ 12 3.1 统计套利模型设计的基本思想······················································ 12 3.2 价差序列················································································· 12 3.2.1 平稳性检验·······································································12 3.2.2 协整关系与协整检验·························································· 13 3.2.3 误差修正模型(ECM) 14 3.2.4 价差序列的计算································································ 14 3.3 价差的波动性··········································································· 15 3.3.1 OLS残差恒定波动模型 15 GARCH时变波动模型 16 ARCH-M检验 17 3.3.4 交易方向········································································