欢迎来到天天文库
浏览记录
ID:56843346
大小:41.00 KB
页数:12页
时间:2020-07-15
《硕士论文--沪深300股指期货套利策略研究.doc》由会员上传分享,免费在线阅读,更多相关内容在教育资源-天天文库。
1、此资料由网络收集而来,如有侵权请告知上传者立即删除。资料共分享,我们负责传递知识。硕士论文--沪深300股指期货套利策略研究篇一:我国证券市场股指期货与沪深300指数套利研究吉林财经大学毕业我国证券市场股指期货与沪深300指数套利研究学院金融学院专业班级金融工程0801班学生姓名张微学号0206080125指导教师刘晓东职称副教授二○一二年四月毕业论文原创性声明本人郑重声明:所呈交毕业论文,是本人在指导教师的指导下,独立进行研究工作所取得的成果。除文中已经注明引用的内容外,本论文不包含任何其他人或集体已经发表或撰写过的作品成果。对本文的研究做出重要贡献的个人和集体,均已在文
2、中以明确方式标明。本人完全意识到本声明的法律结果由本人承担。论文作者签名:2012年月12此资料由网络收集而来,如有侵权请告知上传者立即删除。资料共分享,我们负责传递知识。日摘要本文以我国股指期货合约为研究对象,结合证券市场实际数据,运用实证分析的方法,阐述了在我国股指期货市场进行套利的全过程,论证了套利交易在我国股指期货市场的潜在发展空间,为机构投资者利用股指期货合约进行套利提供策略参考。沪深300指数股指期货180ETF套利AbstractThispaperiscombinedwithactualdataofsecuritiesmarket,usesempiricala
3、nalysismethod,takesstockindexfuturescontractinChinaastheresearchobject,expoundsthewholeprocessofstockindexfuturesarbitrageinChinaanddemonstratesthepotentialdevelopmentofstockindexfuturesmarketarbitrage,whichprovidesreferenceofstockindexfuturesarbitragestrategytoinstitutionalinvestors.Keywo
4、rds:CSI300indexStockindexfutures50ETFArbitrage目录一、我国股指期货概述·······································································12此资料由网络收集而来,如有侵权请告知上传者立即删除。资料共分享,我们负责传递知识。(1)(一)我国股指期货的产生及发展···································(1)(二)沪深300股票指数与沪深300股指期货合约·········(1)1.沪深300股票指数···············
5、································(1)2.沪深300股指期货合约········································(1)(三)股指期货的特点······················································(3)(四)股指期货的交易策略··············································(3)12此资料由网络收集而来,如有侵权请告知上传者立即删除。资料共分享,我们负责传递知识。二、期现套利的理论模型·················
6、·················································(4)(一)我国期指套利交易类型及可行性分析····················(4)(二)股指期货定价模型··················································(4)1.现货——远期平价定理·········································(5)2.持有成本模型·····················································(5)3.区间定价模型····
7、·················································(5)(三)股指期货套利交易风险··········································(8)12此资料由网络收集而来,如有侵权请告知上传者立即删除。资料共分享,我们负责传递知识。三、实证分析···························································································(9)(一)股指期货
此文档下载收益归作者所有