基于高频数据的中国市场股指期货套利  

Chinese stock index futures arbitrage based on high-frequency data

作　　者：魏卓[1] 陈冲[2] 魏先华[1] 

机构地区：[1]中国科学院研究生院管理学院,北京100190 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2012年第3期476-482,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70673100)

摘　　要：利用上证50ETF,上证红利ETF和深证100ETF来复制沪深300指数作为现货,构建沪深300股指期货的无套利边界,并对IF1005、IF1006和IF1007三个主力合约进行了套利机会和结果的分析,发现:三个主力合约均存在套利机会;与国外股指期货推出初期出现的双边套利机会相比,沪深300股指期货只有单边套利机会;与仿真交易数据出现的持续套利机会相比,实际交易数据出现的套利机会逐渐减少;在套利机会较多时获得的利润较少,而套利机会较少时获得利润较多;最后根据研究结果提供了相应的投资建议.This paper used SSE50ETF, SSE Bonus ETF, SZSE100ETF to replicate underlying index to construct no-arbitrage band of CSI 300 index future, and analyzed the arbitrage opportunity and result for main contract of IF1005, IF1006 and IF1007. We found that three main contract exist arbitrage chances; compared to foreign bilateral arbitrage opportunities arise when the early introduction of index futures, CSI 300 index future shows unilateral arbitrage opportunities; compared to the constant arbitrage opportunities researched by simulation trading data, the actual trading data reveals arbitrage opportunities gradually reduced; the profits are less when many arbitrage opportunities exist, and there are more profits when arbitrage opportunities are less. In the end, we offered some investment suggestions based on our research.

关 键 词：沪深300股指期货 交易型开放式指数基金(ETF) 高频数据 期现套利 

分 类 号：F830[经济管理—金融学]