| 基于协整的股指期货跨期套利策略模型 |
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| 引用本文： | 仇中群,程希骏. 基于协整的股指期货跨期套利策略模型[J]. 系统工程, 2008, 26(12): 26-29 |
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| 作者姓名： | 仇中群 程希骏 |
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| 作者单位： | 中国科学技术大学,统计与金融系,安徽,合肥,230026 |
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| 基金项目： | 中国科学院知识创新工程重要方向项目 |
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| 摘 要： | 沪深300股指期货即将推出,目前已经推出仿真交易.国外已有相关文献研究表明基于协整的统计套利可挖掘到一定的股指期货套利空间,而本文利用沪深300股指期货的仿真交易数据对基于协整的统计套利策略模型的有效性及效率进行检验,结果表明国内股指期货仿真交易市场也存在的一定的跨期套利空间.
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| 关 键 词： | 股指期货 协整 配对交易 价差交易 跨期套利 |
Calendar Spread Arbitrage Strategy Model for Index Futures Based on Co-integration Rule |
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| QIU Zhong-qun,CHENG Xi-jun. Calendar Spread Arbitrage Strategy Model for Index Futures Based on Co-integration Rule[J]. Systems Engineering, 2008, 26(12): 26-29 |
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| Authors: | QIU Zhong-qun CHENG Xi-jun |
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| Affiliation: | QIU Zhong-qun,CHENG Xi-jun (Dept.of Statistics , Finance,University of Science , Technology of China,Hefei 230026,China) |
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| Abstract: | With the index future of Hu Shen 300 about to be listed before long,simulating trading is occurring now.Some papers abroad indicate that statistical arbitrage strategy model on co-integration can find some arbitrage space in index future.We test the validity and efficiency of statistical arbitrage strategy model on co-integration through simulating trading data,and the results show that there also exists arbitrage space in index futures in China. |
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| Keywords: | Index Futures Co-integration Pair Trading Spread Trading Calendar Spread Arbitrage |
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