计算机应用与软件2011，Vol.28Issue(9)：93-95,156,4.
基于高频数据的股指期货期现统计套利程序交易
HIGH FREQUENT DATA BASED STOCK INDEX FUTURES PRESENT STATISTICAL ARBITRAGE PROGRAM TRADING
摘要
Abstract
After the Chinese government implements the stock index futures recently, a lot of investors follow the conventional cost holding theory based daytime stock index futures present arbitrage strategy to trade for profit, thus quickly narrowing down the price gap for present arbitrage and eliminating the opportunities for arbitrage. The paper extends the conventional stock index present arbitrage strategy from two angles. On the one hand, it introduces the statistical arbitrage strategy that obtains absolute gains into stock index futures present arbitrage, meanwhile solving problems that statistical arbitrage strategy encounters at stock index present arbitrage; on the other hand, it helps trading spot' s trading cycle to penetrate into minute-level high frequent market quatation. By extending from these two angles, the paper not only broadens the stock index futures present arbitrage' s theoretical research path, but also gains fine profit-risk efficient; additionally it is more or less instructive for investment practices.关键词
统计套利/协整/程序交易/股指期货/期现套利Key words
Statistical arbitrage Co-integration Program trading Stock index futures Present arbitrage分类
管理科学引用本文复制引用
张连华..基于高频数据的股指期货期现统计套利程序交易[J].计算机应用与软件,2011,28(9):93-95,156,4.基金项目
2011年度上海市博士后科研资助计划重点项目(11R21421700) （11R21421700）
