| 基于高频数据的中国市场股指期货套利 |
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| 引用本文： | 魏卓,陈冲,魏先华.基于高频数据的中国市场股指期货套利[J].系统工程理论与实践,2012,32(3):476-482. |
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| 作者姓名： | 魏卓 陈冲 魏先华 |
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| 作者单位： | 1. 中国科学院研究生院 管理学院, 北京 100190;2. 中国科学院 数学与系统科学研究院, 北京 100190 |
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| 基金项目： | 国家自然科学基金(70673100) |
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| 摘 要： | 利用上证50ETF, 上证红利ETF 和深证100ETF 来复制沪深300指数作为现货, 构建沪深300 股指期货的无套利边界,并对IF1005、IF1006 和IF1007三个主力合约进行了套利机会和结果的分析, 发现:三个主力合约均存在套利机会;与国外股指期货推出初期出现的双边套利机会相比, 沪深300股指期货只有单边套利机会; 与仿真交易数据出现的持续套利机会相比,实际交易数据出现的套利机会逐渐减少;在套利机会较多时获得的利润较少, 而套利机会较少时获得利润较多; 最后根据研究结果提供了相应的投资建议.
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| 关 键 词： | 沪深300 股指期货 交易型开放式指数基金(ETF) 高频数据 期现套利 |
| 收稿时间： | 2011-04-08 |
Chinese stock index futures arbitrage based on high-frequency data |
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| WEI Zhuo
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CHEN Chong
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WEI Xian-hua.Chinese stock index futures arbitrage based on high-frequency data[J].Systems Engineering —Theory & Practice,2012,32(3):476-482. |
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| Authors: | WEI Zhuo CHEN Chong WEI Xian-hua |
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| Institution: | 1. School of Management, Graduate University of Chinese Academy of Sciences, Beijing 100190, China;2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China |
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| Abstract: | This paper used SSE50ETF,SSE Bonus ETF,SZSE100ETF to replicate underlying index to construct no-arbitrage band of CSI 300 index future,and analyzed the arbitrage opportunity and result for main contract of IF1005,IF1006 and IF1007.We found that three main contract exist arbitrage chances; compared to foreign bilateral arbitrage opportunities arise when the early introduction of index futures,CSI 300 index future shows unilateral arbitrage opportunities;compared to the constant arbitrage opportunities researched by simulation trading data,the actual trading data reveals arbitrage opportunities gradually reduced;the profits are less when many arbitrage opportunities exist,and there are more profits when arbitrage opportunities are less.In the end,we offered some investment suggestions based on our research. |
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| Keywords: | CSI 300 index future ETF high-frequency data futures-spot arbitrage |
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