中国计量学院学报2011，Vol.22Issue(2)：198-202,5.
基于协整理论的沪深300股指期货跨期套利研究
Research on the calendar spread arbitrage of CSI 300 stock index futures based on Co integration theory
李世伟1
作者信息
- 1. 中国计量学院理学院,浙江杭州310018
- 折叠
摘要
Abstract
Stock index futures were mostly be arbitraged by using cost of carrying model, but the arbitrage effect was not well. Statisticalarbitrage provided a new arbitrage mode. Some arbitrage models using Co integration in present can also be improved. An improved model is given by using Co integration theory. The empirical analysis result indicated that an ideal arbitrage effect can be realized by using the traded data of CSI 300 stock index futures.关键词
股指期货/跨期套利/GARCH模型Key words
stock index futures/ calendar spread arbitrage/ GARCH model分类
经济学引用本文复制引用
李世伟..基于协整理论的沪深300股指期货跨期套利研究[J].中国计量学院学报,2011,22(2):198-202,5.
