摘要
通过寻找股指期货两个合约的均衡价差,给出了关于均衡价差的期货合约跨期套利的上下限,进而提出了新的跨期套利的触发条件和终止条件.我们在原始均衡价差模型的基础上改进了三种跨期套利模型,实证利用较为高频的1min数据,并用动态交易的方式对交易策略的实际交易效果和模型的有效性进行检验,实证检验表明了我们的套利交易策略的收益水平较好.
Through looking for a balanced spread of two stock index futures contracts,this paper gives the upper and lower limits of the futures contracts calendar spread arbitrage about the balanced spread,and then proposes a new trigger and termination conditions of futures contracts calendar spread arbitrage.Three calendar spread arbitrage models on the basis of the original balanced spread model are improved and the empirical test is verified by using the relatively highfrequency data of one-minute.The validity of the model and actual trading effects have been tested by the dynamic methods.The empirical tests show that the income level of arbitrage trading strategies presented is better.
出处
《浙江工业大学学报》
CAS
北大核心
2016年第1期111-118,共8页
Journal of Zhejiang University of Technology
关键词
高频数据
股指期货
跨期套利
均衡价差
high-frequency data
stock index futures
calendar spread arbitrage
balanced spread
