跨期套利

第四章是对跨期套利的实证分析。

The fourth chapter is the empirical analyses of calendar spread arbitrage .

商品期货跨期套利模型及其实证分析

The Models of Commodity Futures Interdelivery Spread and Their Empirical Studies

对跨期套利，运用仿真交易的数据进行计算。

We only use simulation data to introduce the calendar arbitrage .

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 .

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 .

同时在是否考虑时变方差的两种情况下，对跨期套利模型进行了对比研究。

At the same time varying variance both cases , whether to consider the intertemporal arbitrage model of a comparative study .

对冲交易包括套期保值和跨期套利，是金融衍生商品交易市场中非常重要且较为安全的交易方式。

The spreading trade , including hedging and the arbitraging , is the important and safe operations in derivative security market .

跨期套利作为套利交易的一种操作方式，在期货市场上对于价格发现，增加市场流动性，规避风险都有重要的作用，因此研究和倡导套利交易对于发展与稳定期货市场是必要的。

Interdelivery spread as a kind of arbitrage is very important as to the price discovery , market activity and risk management .

本文讨论了跨期套利交易的价差风险极小化模型、方法和算法。

In this paper the models , methods and algorithm of minimum risk of price difference in the derivative security market are discussed .

利用协整理论检验了合约之间的均衡关系，并通过获得的协整系数构建跨期套利交易模型。

Cointegration theory to test the equilibrium relationship between the contract and by the cointegration coefficient obtained by building a cross-arbitrage trading model .

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 .

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 .

对成熟市场和新兴市场的跨期套利机会进行了分析，比较了新兴市场不同时期跨期套利机会的情况。

The chances of Interdelivery Spread in emerging market and in maturity market are analyzed , the chances of Interdelivery Spread in emerging market are also analyzed in different period .

实证结果揭示了沪深300跨期套利机会的存在，并检验了统计套利模型的实证效果。

The results of the demonstration reveals the existence of the opportunities of Shanghai and Shenzhen 300 SIF on cross-contracts arbitrage , and tests the effect of the statistical arbitrage model .

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 .

跨期套利实证结果显示，合约间实际价差不合理，导致均衡价差不稳定，跨期套利只能基于对价差走势的主观判断，这种投机性的套利面临较大的展期风险。

In terms of calendar-spread arbitrage , actual spread between back-month and front-month contract is unreasonable , which lead to unstable equilibrium spread . As the spread trend has to be subjectively judged , calendar-spread arbitrage may involve high rollover risk .

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 .