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ID:49822842
大小:5.14 MB
页数:61页
时间:2020-03-04
《基于高频数据的期货跨品种套利研究——以螺纹钢和铁矿石为例.pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、浙江工巧大学基于离频数据的期货跨品种墅利分析—W螺纹钢和铁矿石为例BASEDONFUTURESARBITRAGEACROSSSPECIESUNDE民HIGH-FREENCY—QUDATAACASESTUDYOFSTEELANDIRONOREABSTRACTSinceChinaZhengzhouGrainWholesaleMark幻openingmarksthe''establishmentofChinasfuturesmarketOctob
2、er121990,Chinas,扣turesmarkethasone化rouhtwentyyearsofdevelomenthis化ryggp,wi也化eincreasinvarietoftransactionsalarenumberofinvestorsgy,genter-化efuturesmarketarbitraetradincrossseciesarbitraetradingg,pggvolumeisalsorowin.But
3、literaturedomesticscholarsstudggycross-sec-iesarbitraemuchinv的torswferencecrossseciesarbitragepg,pesst-lime.Therefore化e化eorandracticeofcrossseciesarbitrae,yppg'canrovideeffectiveadviceandimprove也eeficiencofChinaspyfutures.n
4、-I化isaercoin1:erationtheorbasedo打比eaveraesreadofpp,gy,gpeso打sestocros-steerpsbreedoflandko打orefuturesmarketarbitraegIII浙江工商大学基于高频数据的期货跨品种套利分析一W螺纹钢和铁矿石为例emiricalresearch.Firsttheliteratureandstatisticalarbitraetheorp,gysort-t
5、ingsummarizinresearchsatusofcrossseciesarbitraeand,gpganalzetheossibleexistenceofsomeroblemsinractice.Thenusinypp,pgMatlabandironore化makeskelin1minutehihfreuencdataricesgqypAuust12014化Oc化her312014化ecorrelationanalsis
6、g,,y,coin怡grationanalysis,化eresultsindicatetiiats化elandironcorrelation-coefficientoforeuto0.9795whiletileexistenceofalontermstablep,gequil化riumrelationshibetween化etwo.In化ispaper,化etraditionalp-ttmeansandarddeviaionairst
7、radinmodelbenchmarkempiricalpgresearchbasedonthisroosedstratebasedonrecursiveairstradin,ppgypgoerationstrintocaturearbitraeoortunitiesfromthesreadinp,ygpgppptheemiricalmodelshowsthatthecontrolarametersarenotsensitivepp,
8、sot:hismodelisrobust.In比isaers化elandironoreforexamledescr化eshow1:0filterpp,,p,ss化makedcombinationshowtodeterminethematchinrateyp,garbitraeort
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