北京航空航天大学学报(社会科学版) ›› 2015, Vol. 28 ›› Issue (4): 76-83.DOI: 10.13766/j.bhsk.1008-2204.2014.0172

• 经济与管理 • 上一篇    下一篇

基于变结构协整的股指期货跨期套利

方兆本, 王利斌, 叶五一   

  1. 中国科学技术大学 管理学院, 安徽 合肥 230026
  • 收稿日期:2014-04-25 出版日期:2015-07-25 发布日期:2015-07-23
  • 作者简介:方兆本(1945—),男,浙江金华人,教授,博士,研究方向为金融工程.
  • 基金资助:

    国家自然科学基金青年科学基金资助项目(71001095)

Stock Index Futures Intertemporal Arbitrage Under Variable Structure Cointegration

Fang Zhaoben, Wang Libin, Ye Wuyi   

  1. School of Management, University of Science and Technology of China, Hefei Anhui 230026, China
  • Received:2014-04-25 Online:2015-07-25 Published:2015-07-23

摘要:

随着中国股指期货市场成交量的扩大和流动性的加强,合约间价差的变化更加复杂和多变。为了改进传统跨期套利策略的效果,使用允许结构突变的变结构协整模型对价差进行建模,设计了一套完整的程序化交易策略,并选取IF1311,IF1312,IF1401和IF1402的真实高频交易价格数据进行实证研究。结果表明:中国股指期货合约价格存在大量突变现象,变结构协整模型策略在3对合约间的交易表现相较于传统模型策略,能捕捉到更多交易机会、更高的收益率和更大的夏普比率。

关键词: 股指期货, 跨期套利, 变结构协整, 高频数据, 交易策略

Abstract:

With the expansion of stock index futures market volume and strengthening of liquidity in China, changes in the spread between contracts is getting complex and varied.In order to improve the effectiveness of traditional intertemporal arbitrage strategy, the authors use the variable structure cointegration model for modeling spreads, designing a complete program trading strategy, and select ing IF1311, IF1312, IF1401 and IF1402 real high frequency trading price data for the research. The results show that with the presence of the prices mutation of the stock index futures market prices and the new model, the strategy can capture more trading opportunities and improve the yield compared to conventional models.

Key words: stock index futures, intertemporal arbitrage, variable structure cointegration, high frequency data, trading strategy

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