股票指数期货交易策略及风险管理研究

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1、天津大学博士学位论文股票指数期货交易策略及风险管理研究姓名：王宝森申请学位级别：博士专业：金融工程指导教师：郑丕谔20031101AbstractStockindexfuturespricingbyno—arbi订agetheoryandallactualno—·arbitragemathematicalmodelofstockindexfutureswasgiveninthisdissertation，Arbitragershouldfindoutwhethertherearesomeopportunitiesaccordingtotheirarbitragecost，Togetamaxim

2、alincometheyshouldusetransformativearbitragestrategyflexiblywhichwasgiveninthedissertation．nleMulti—AptitudeBodyUncertainComposedMethodsareusedtodealwimthehistoricaldataandforecastwaysinwhichtheminimumvariancehedgeratioiscalculatedsynthetically，inordertofostercalculationalreliabilityoftheminimumvari

3、ancehedgeratioinhedgingofstockindexfuturesThemathematicalhedgingmodelwhichisconsistsofBriskpremium，basisriskpremiumandsystematicriskpremiumisbuiltbasedonCapitalAssetsPriceModel．Themodelisusedtoincreaseincomeundertheconditionwhichasystematicriskisreduced，notonlythemodelreflectstheactualmeaningofhedgi

4、ngofstockindexfutures，butalsocombinesconventionalhedgingtheoryandmodemcombinatorialhedgingtheory．nleBPneuralnetworksmethodfireintroducedtoforecastfuturespriceinaspeculatingtradeofstockindexfuturesandsatisfactoryresultsareobtainedinempiricalstudies．vaRiSusedtomeasurethemarketriskofAmericaS&P500stocki

5、ndexfuturesandaconclusionisgotthatsupervisorandtradercarladjustsupervisionstrategyandprovisionofriskcapitalaccordingtodailyVarvalue．Thestudygivesariskmanagementtoolwhichcanbeusedwhenthestockindexfuturesaredevelopedinfutureinourcountry．Accordingtotheanalysisofadvantageanddisadvantageofstockindexfutur

6、essupervisionmechanisminothercountries，one—unitthree—levelsupervisionmechanismandmeasureswereestablishedandriskmanagementwasstudiedinadvanceinourstockindexfuturesmarket．Keywords：StockindexfuturesArbitrageHedgeSpeculationRiskmanagement独创性声明本人声明所呈交的学位论文是本人在导师指导下进行的研究工作和取得I研究成果，除了文中特别加以标注和致谢之处外，论文中不包含其

7、他人已经：表或撰写过的研究成果，也不包含为获得鑫注盘鲎或其他教育机构的学1或证书而使用过的材料。与我一同工作的同志对本研究所做的任何贡献均已j论文中作了明确的说明并表示了谢意。学位论文作者签名：鼍少鼋采签字日期：乃哆年，／月2莎日学位论文版权使用授权书本学位论文作者完全了解苤鲞盘茎有关保留、使用学位论文的规定特授权盘连盘堂可以将学位论文的全部或部分内容编入有关数据库进行程索，并采用影印、缩印或扫描