股指期货套利

首先对股指期货套利理论进行了详细的阐述，推导了基于持有成本的股指期货跨期套利模型，之后详细介绍了基于协整的统计套利的定义、套利实施策略以及检验方法。

Detailed description of the first stock index futures arbitrage theory , intertemporal arbitrage model based on the cost of ownership of stock index futures is derived after detailed definition based on the the cointegration statistical arbitrage , arbitrage implementation strategies , and test methods .

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 .

股指期货套利的一大重要功能就是价格发现。

One of the important function of index futures is price discovery .

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

股指期货套利交易机制研究及实证分析

A Study on the Arbitrage Mechanism and Empirical Tests of Stock Index Futures

股指期货套利分析

Analysis of the Stock - index Futures

期望本文能对政策制订者以及从事股指期货套利的投资者提供科学的并有可操作性的参考意见。

Expect this to policy-makers and engaging in futures arbitrage investors to provide scientific and operability reference opinions .

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 .

文章最后针对股指期货套利交易中可能存在的风险做了识别分析，并对风险控制提出了相关建议。

Finally , the paper analyzes potential risks of Stock Index futures in arbitrage and also puts forward valuable suggestions .

股指期货套利对于市场各方面都是有益的，政府应尽可能创造良好的套利环境予以支持。

Index futures arbitrage is beneficial for market and the Government should carry as much as possible to create a good environment to support it .

但股指期货套利并不是无风险的，套利现货组合的跟踪误差、强制平仓、结算价差风险、相关市场流动性的制约等因素都会影响套利效果。

But the arbitrage of stock index futures is not without risk , the tracking error of arbitrage spot portfolio , the compulsory liquidation , the settlement price risk , liquidity constraints could effect the arbitrage return .

因此建议机构投资者着重关注期现套利和跨期套利，这两种套利策略是未来沪深300指数期货套利的主要策略选择，因此建议管理层应当给于股指期货套利政策上的支持。

Therefore , I recommend institutional investors focus on the current period intertemporal arbitrage and arbitrage which are key strategies in the future of the Shanghai and Shenzhen 300 index and management should give support on policies .

然后介绍套利的基本原理和方法及融资融券业务，阐述中小投资者如何利用ETF实现股指期货正向套利与反向套利，并制定一套简单可行的套利策略。

Then describes the basic principles and methods of arbitrage and margin trading business , explain how to use the ETF to achieve small investors stock index futures arbitrage and reverse arbitrage forward and develop a simple and feasible arbitrage strategies .

沪深300股指期货无套利区间分析

The Analysis on Arbitrage-free Zone of Hu-shen 300 Index Futures

浅析我国股指期货无套利原因及后果

Analysis on The Cause Effect of Non-arbitrage in China ′ s Index Future Market

本文以沪深300指数期货为研究对象，主要讨论了股指期货的套利交易。

This article mainly discussed the arbitrage of stock index futures based on SSE 300 index .

除此之外，投资者还可以利用股指期货进行套利，获得无风险收益。

In addition , investors can use the index futures for arbitrage and get risk-free return .

针对在现有的市场环境下，股指期货的套利行为并非完全无风险，诸多不确定因素会影响套利行为的效果，甚至威胁到套利行为的成败。

In current market environment , arbitrage of futures and spot is not entirely risk-free , many uncertainties will affect the effectiveness of arbitrage , or even threaten the success or failure of arbitrage .

股指期货的套利不仅丰富了我国的证券市场，同时也为风险厌恶型投资者找到了一种全新的无风险盈利模式，更为机构投资者提供了更好的规避市场下跌的方法。

The arbitrage of Stock Index Futures not only enrich Chinese securities market , but also provides a new kind of risk-less profit-making model for risk-aversive investors , and a better instrument of avoiding market droping for institutional investors .

股指期货期现套利并未完全发挥作用，因为现货组合成本巨大、交易市场分割等原因不能广泛利用期现套利。

Stock index futures arbitrage role because spot combination costs , market segmentation etc. Reason cannot extensive use .

现货组合的构建是股指期货期现套利的关键问题之一。

Recently , construction of spot portfolios becomes one of key steps in the futures-spot arbitrage of stock index futures .

本文属应用研究型。本文以中国股指期货市场的套利交易与风险控制为研究主题。

This article is an applied study , discusses the arbitrage transaction and risk control of the domestic stock index future market .

沪深300指数优化复制方法的实证研究&基于股指期货的正向套利实验模拟视角

An Empirical Study on Shanghai and Shenzhen 300 Index Optimum Replication : Based on the Perspective of Experimental Simulation about the Positive Arbitrage of Index Futures

本文主要研究了沪深300股指期货的期现套利与跨期套利。

This thesis mainly studies future-spot arbitrage and calendar-spread arbitrage with CSI 300 stock index future .

其次，本文还重点研究了股指期货的定价与套利交易。

Second , this paper has also studied the pricing and arbitrage of stock index futures .

随后本文探讨了交易成本对期货价格的影响，推导出股指期货价格的无套利区间表述公式。

This chapter also discussed the influence of trading cost and inferred an equation of no-arbitrage bund .

本文的目的是给未来沪深300股指期货推出后的套利提供一定的指导及借鉴。

The purpose of this paper is to provide some advice and guidance on the arbitrage after the list of the Shanghai and Shenzhen 300 stock index futures .

第六章，重点讨论了股指期货市场期现套利中的核心问题：如何构建指数现货组合。

In the sixth chapter , we emphatically discuss how to build a stock portfolio which is the key issue of the spot-future arbitrage in the stock index futures market .

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 .

当然，股指期货交易中的套利活动也会对股票市场产生负面的影响，它的推出有可能会加剧股票市场的波动性。

Of course , the stock market will be affected negatively by the stock index futures and arbitrage activities , stock index futures may increase the launch of the volatility of the stock market .