股指期现套利建模及交易实现研究

【作者】 王君彧；

【导师】 凌鸿；

【作者基本信息】 复旦大学 ， 工商管理， 2008， 硕士

【摘要】 期现套利的交易实现离不开理论建模、系统设计以及风险识别和控制这三方面的支撑。本文围绕期现套利交易实现的这三个主要问题,在结合我国证券市场特点的前提下,运用分红密度导向、动态成本跟踪及现货组合构造等方法对股指期货的期现套利理论模型进行了优化;并通过对交易流程和交易系统有针对性的设计,对这一优化模型在交易实现中的运用进行了深入研究。另外,针对交易实现过程中面临的实时监控、批量委托等主要问题,本文提出了分布式、推送式的实时数据显示模式以及优化后的批量委托方法,从微观设计层面为期现套利的交易实现提供了解决方案。在文章的最后,本文还针对交易过程中的风险进行了分类讨论,并给出了识别和防范这些风险的方法。从而为期现套利的交易实现提供了进一步的安全保障。更多还原

【Abstract】 Carrying out of futures-cash arbitrage can not leave these three aspects: the theory modeling, the system design as well as the risk distinguishes and controls. The main body of this article is surrounding these three primal problems of futures-cash arbitrage. Based on stock market characteristic of our country, we optimized the arbitrage model by investigating frequency of bonus paid、tracking cost dynamically and discussing the way to construct a appropriate mimic portfolio. And by designing the trading flow and trading system, we also investigated the application of the optimized model.Moreover, aiming at the problem of real-time monitoring and batch trading, this article gives the solution by push technology、distributed technology and optimized batch trading .These means give us a total solution of how to carry out a successful futures-cash arbitrage.In article final, this article also gives a classified discussion aiming in the risk of trading process, and gave us a way to distinguish and against these risks.更多还原