摘要
该文进行沪深300股指期货高频日内跨期统计套利策略研究,设计了沪深300指数期货跨期价差描述模型及套利交易触发与停止模型以及相应的参数估计方法,通过组合以上2个模型构造出了日内高频跨期统计套利策略算法,并使用0.5s取样数据,基于较为严苛的交易成本假设,实证验证了上述套利策略算法的有效性。
This study analyzes statistical calendar spread arbitrage strategies based on intraday high frequency data for the Shanghai and Shenzhen 300 stock index futures using a model designed to explain the price spread between two Shanghai and Shenzhen 300 stock index future contracts and a model to trigger or stop arbitrage trades.The two models are then combined into a single arbitrage strategy algorithm for Shanghai and Shenzhen 300 stock index futures with methods given to estimate the proper model parameters.A half second of sample data is used to empirically validate the algorithm＇s effectiveness with a strict hypothesis on transaction cost.
出处
《清华大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2014年第8期1080-1086,共7页
Journal of Tsinghua University(Science and Technology)
基金
国家自然科学基金资助项目(70871071
71272024)
关键词
股指期货
统计套利
跨期套利
高频套利
stock index futures
statistical arbitrage
calendar spread arbitrage
high frequency arbitrage
