套利策略

从劳动力角度来说，企业是在依赖纯粹的套利策略。

Companies were living off a pure arbitrage strategy from a labour perspective .

所设计的套利策略成功率较高，实施有效。

The designed arbitrage strategy is conducted effectively .

然而，进一步的研究发现，通过Sloan（1996）的投资组合套利策略并不能获得超常回报，这与旧准则下10%左右的超常回报明显不同。

However , further study shows that the arbitrage portfolio strategy following Sloan ( 1996 ) cannot earn an abnormal positive return , and this is quite different from that of the abnormal return which was bout 10 % under the old accounting standards .

沪深300股指期货套利策略及风险管理研究

Analysis of the Index Futures Arbitrage Investment Strategy Trading and Risk Control

亚洲对冲基金主要采用的是跨期套利策略。

Long / short strategies dominated Asian hedge funds .

套利策略中期现套利的关键是构建目标指数的现货组合。

Therefore it is important to make a spot portfolio which can trace the index .

当策略的初始资产不是0时，如何判断该策略是否是套利策略？

How do you tell whether a strategy is an arbitrage with its initial wealth unequal to 0 ?

并发现基于时变波动率的统计套利策略要优于基于历史波动率的统计套利策略。

And based on time-varying volatility statistical arbitrage strategy is superior to statistical arbitrage strategies based on historical volatility .

第三章主要论述了境内外机构投资者股指期货套利策略的运用，并对两大机构投资者套利策略运用进行比较和启示。

Chapter III focuses on the usage by domestic and foreign institutional investors and compare the two major institutional investors .

滑动窗口下的统计套利策略主要有以下几个研究：第一：对开仓阂值和止损阈值进行了优化。

Statistical arbitrage strategy under moving window mainly includes the following aspects : First , optimize the opening and stop-loss threshold .

第三，在本文的最后一部分，通过对可转换债券价值构成的研究后，着重分析了可转换债券的投资策略和套利策略。

Lastly , by researching on composing of convertible bonds value , mostly analyses strategies of investment and arbitrage on convertible bonds .

新兴市场和固定收入债券套利策略同样表现出色，它们押注于债券价差的相对变化。

Emerging market and fixed - income arbitrage strategies which bet on relative changes in value between bonds have also done well .

投资者利用套利策略，借入低收益率的发达市场货币，投资于利率较高的发展中国家货币。

The investor has used carry strategies , borrowing in low-yielding developed market currencies to invest in developing countries where interest rates are higher .

许多对冲基金策略，特别是套利策略，是有限的资金多少，他们可以成功地利用返回前减少。

Many hedge fund strategies , particularly arbitrage strategies , are limited as to how much capital they can successfully employ before returns diminish .

构造了非均衡状态和相对均衡状态下的套利策略，两种套利策略简单易于操作。

Two arbitrage strategies , which are simple and easy to implement , are presented according to two different situations , non-equilibrium and equilibrium in approximation .

第四章主要论述了中国机构投资者的基本状况与股指期货套利策略选择，并对中国机构投资者股指期货套利策略效率进行实证，分析期现套利、跨期套利策略的成本效率和收益率。

Chapter IV focuses on basic conditions of institutional investors in China , selection of stock index futures arbitrage strategy verify that efficiency and analyze Cost-efficiency and yields .

接着详细阐述了股指期货的四种套利策略，而且依据国内的实际情况，选择了具有实际可操作性的期现套利和跨期套利作为本文的研究对象。

Then elaborated on four arbitrage strategy , and its basis domestic actual situation chose feasible period now arbitrage and cross period arbitrage as the research object in the thesis .

本文主要利用二叉树结合蒙特卡罗模拟方法，对可转换债券定价进行了理论建模、实证研究，同时分析了可转换债券的投资策略和套利策略。

The paper mostly uses the binomial tree model connected with Monte Carlo to construct model and empirical study on convertible bonds , and analyses the strategies of investment and arbitrage on convertible bonds .

因而如何通过对冲将相关合约中不确定的因素规避，从而留下相对确定性的因素去投机，成为一个套利策略好坏的核心问题。

And thus how to hedge the uncertainties related to the contract to avoid , leaving the relative certainty of the factors to speculation , arbitrage strategy to become a core issue of good and bad .

比如利用某一时点由于指数的波动导致不同月份的合约价差突然变大，投资者预期价差将逐渐回归正常水平，则朝着价差缩小的方向开展套利策略。

For example , the contract spread of the different months becomes wider abruptly , and the investors expect the spread will gradually return to normal levels and the carry out arbitrage strategies that the spread would narrow .

究其原因可能有二：一是可转债市场还比较小，流动性比较差，市场价格发现功能受到制约；二是市场缺乏做空机制，可转换债券的套利策略难以实现。

The reasons of the underpricing include : the low liquidity of convertible bonds , which restricts the price-founding function of the market , and the lack of short-sell , which can achieve free arbitrage if the market prices departure the equilibrium prices .

指数期货套利交易策略设计

The Strategic Design for Trading Stock Index Future Arbitrage

本文结合沪深300股指期货，重点探讨股指期货的套利交易策略。

This paper is focused on the arbitrage strategies of the Shanghai and Shenzhen 300 SIF .

本章中给出了一些总结性的结论，并提出了相关的对策建议，希望通过制度性的措施来促进套利投资策略的完善和充分发展，从而保障市场长远、健康的发展。

In order to guarantee the health and long-term development of the market , this chapter puts forward some institutional measures to promote the full development of arbitrage investment strategy .

本次研究利用长时间的农产品期货投资实践及油厂现货购销工作经验，结合MBA的专业课程，对豆类期货套利交易实例策略进行分析及总结归纳。

This essay is based on my long time research and practice on agriculture products futures investment and the edible oil products sales experience , along with learning on MBA course , gives the analysis and summary to beans futures arbitrage strategy .

这就充分体现了统计套利型交易策略保持市场中性、规避系统风险的优势。

This reflects the advantages of strategy based on arbitrage trades .

但对基于人民币肯定继续升值预期的套利和杠杆策略而言，人民币进一步走弱可能是毁灭性的。

But more weakness could be lethal for arbitrage and leverage strategies based on expectations that the currency was certain to keep rising .

跨期套利的具体策略有牛市套利策略、熊市套利策略和碟式套利策略。

Cross period of arbitrage specific strategies that there is a bull market arbitrage strategy , bear arbitrage strategy and disc type arbitrage strategy .

套利或相对价值策略利用的是某类资产定价的无效性，确保市场提供明确的定价信号并协调运转而不是作为面向各类资产的彼此无关的多个市场。

Arbitrage or relative value strategies exploit pricing inefficiencies in an asset class , ensuring markets provide clear pricing signals and function in unity , rather than as unlinked markets for each individual asset .

套利收益，套利机会与套利策略。

Arbitrage Return , Arbitrage Opportunity & Arbitrage Strategy .