基于指数加权移动平均模型的沪深300协整跨期套利策略</a>

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摘要沪深300已在国内上市1年多,现有的相关研究文献表明基于协整的跨期套利模型能够发现跨期套利机会并获得一定收益,然而固定样本期往往无法有效的反应最新数据的信息。为解决这个问题,建立了基于协整的跨期套利的EWMA模型,并运用沪深300股指期货合约的真实交易数据进行了实证研究。结果表明,该模型能够套利成功并获取可观的收益,因此该模型是有效的。

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关键词 ：股指期货, 跨期套利, EWMA模型, GARCH模型

Abstract：The CSI 300 stock index futures have been listed in China for more than one year.Based on Cointegration theory associated with the arbitrage performance,the arbitrage of the stock index future was investigated.However,it exists a main problem in those studies,i.e.,the information in the latest data couldn’t be revealed effectively if the sample period was fixed.To remedy this limitation,a new Cointegration theory-based EWMA model was proposed in the paper,and a empirical study was conducted by using the real traded data of the CSI 300 stock index futures to demonstrate the effectiveness and efficiency of the proposed model.

Key words： stock index futures calendar spread arbitrage EWMA model GARCH model

基金资助:

国家自然科学基金资助项目(31100958);上海市教委重点创新项目(12ZS101)

引用本文:

柳慰颖；陈以增；毛亚莉. 基于指数加权移动平均模型的沪深300协整跨期套利策略[J]. 南昌大学学报（理科版）, 2012, 36(04): 336-.
LIU Wei-ying,CHEN Yi-zeng,MAO Ya-li. Calendar spread arbitrage of CSI 300 stock index futures based on cointegration theory-based EWMA model. , 2012, 36(04): 336-.

链接本文:

http://qks.ncu.edu.cn/Jwk_xblxb/CN/ 或 http://qks.ncu.edu.cn/Jwk_xblxb/CN/Y2012/V36/I04/336