| 沪深300股指期货跨期套利价差的R／S分析 |
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| 引用本文： | 赵聪,俞熹.沪深300股指期货跨期套利价差的R／S分析[J].科学技术与工程,2010,10(33). |
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| 作者姓名： | 赵聪 俞熹 |
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| 作者单位： | 复旦大学物理学系,上海,200433 |
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| 基金项目： | 复旦大学本科生学术研究资助计划曦源项目(No.100813) |
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| 摘 要： | 基于R/S分析应用Hurst指数和V统计量对于沪深300股指期货合约跨期套利价差的1分钟数据进行实证研究，得出其Hurst值在(0.4,0.5)，平均循环周期在(8,20)分钟。这显示跨期价差具有较低程度反持续性的分形市场特征，由于套利行为的影响，过去趋势对于未来有相反作用，与股票现货市场的长期记忆性不同。
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| 关 键 词： | 跨期价差、R/S分析、Hurst指数、平均循环周期、反持续性 |
| 收稿时间： | 9/1/2010 10:05:28 PM |
| 修稿时间： | 9/19/2010 8:08:44 PM |
R/S Analysis on Calendar Spread of CSI-300 Index Futures |
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| Zhao Cong and Yu Xi.R/S Analysis on Calendar Spread of CSI-300 Index Futures[J].Science Technology and Engineering,2010,10(33). |
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| Authors: | Zhao Cong and Yu Xi |
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| Institution: | ZHAO Cong,YU Xi(Dept of Physics,Fudan University,Shanghai 200433,P.R.China) |
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| Abstract: | The emperial research of the 1 minute data of the calendar spread of CSI-300 Index Futures utilizing Hurst exponent and V statistics based on R/S analysis gives its Hurst exponent in (0.4,0.5) and the average loop cycle between (8,20) minutes. Such an outcome indicates that the calendar spread reflects a fractal market character with low-level anti-persistence. Because of the impact from arbitrage, the past tendency in calendar spread brings counter-effect in future, which is different from long-term memory of stock spot market. |
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| Keywords: | Calendar Spread R/S Analysis Hurst Exponent Average Loop Cycle Anti-persistence |
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