股指期货强行平仓风险应对策略的探讨  

Research on Investment Stratigies against Mandatory Liquidation in Stock Price Index Futures

作　　者：李宏伟[1] 唐清泉[1] 史庆盛[1] 

机构地区：[1]中山大学管理学院,08硕广州510275

出　　处：《中山大学研究生学刊（自然科学与医学版）》2008年第3期73-80,共8页Journal of the Graduates Sun YAT-SEN University(Natural Sciences.Medicine)

摘　　要：中国金融期货交易所已经推出沪深300股票指数,并开始了以沪深300为标的指数的股指期货合约仿真交易,本文在中国金融期货交易所推出了一系列股指期货交易规则的基础上,通过模型将问题转换成非线性方程求解,得出投资者在最开始应该投放于股指期货交易市场的初始保证金数量,开仓持有的合约头寸并最终求得总的投资收益;通过对不同的历史价格序列进行的对比,得出价格波动的剧烈程度会对投资总收益产生很大的影响;价格序列的方差越大,强行平仓风险的投资策略优势越明显。通过这些研究,提出应对强行平仓风险的一种投资策略。China has launched Hu - shen 300 stock index and began the simulation trade targeted on Hu - shen 300 stock index future contracts. According to the series of trade rules constuted by China Financial Futures Exchange, in this thesis we convert the problem to nonlinear equation through model. The result is obtained through bisection method and then we can calculate the initial deposit the investors should launch at the very beginning, the amount of the stock price index future contracts as well as the total income. Besides, we have made a contrast on different series of historical data. The running result shows that, the fluctuating of price series irtfluent the total income of the investment. The more the standard diviation the more obvious advantages of our investment stratigies. On the basis of these research, we put forward an investment stratigies which aim at the risk of mandatory liquidation.

关 键 词：股指期货 保证金 强行平仓 投资策略 非线性方程 

分 类 号：F830.9[经济管理—金融学] U293.221[交通运输工程—交通运输规划与管理]