股指期货高频动态估值研究——以沪深300股指期货为例  

A Study of Dynamic Valuation of Stock Index Futures:CHI300 Index Futures as an Example

作　　者：陈晓杰 

机构地区：[1]福建省发展和改委委员会,福建福州350003

出　　处：《北京工商大学学报（社会科学版）》2014年第4期76-85,共10页JOURNAL OF BEIJING TECHNOLOGY AND BUSINESS UNIVERSITY:SOCIAL SCIENCES

基　　金：国家自然科学基金项目(70973021)

摘　　要：相比传统的持有成本估值模型,在考虑实际市场中高频动态信息的基础上提出的高频动态估值模型,有利于投资者在瞬息万变的股指期货市场中对股指期货价格进行更为精确的预测。通过以沪深300股指期货连续合约为例的5分钟高频动态估值实证分析,发现高频动态估值模型的平均估值精确度能够达到99.92%,是持有成本估值模型精确度的14.2倍,且估值误差波动有望降低至持有成本估值模型的8.93%。Compared to the traditional Cost-of-Carry valuation model, we propose the dynamic valuation model considering the high-frequency dynamic information in real markets, which is more helpful for investors to make more precise predictions in e- lusive markets. Through applying 5-min high-frequency dynamic valuation model empirical analysis to trading data of continuous contracts of CSI 300 stock index futures, we find accuracy of dynamic valuation model is expected to reach 99.92% on average, which is 14.2 times of the traditional Cost-of-Carry valuation model. Moreover, the error fluctuation of dynamic valuation is ex- pected to be 8.93% of the traditional Cost-of-Carry valuation.

关 键 词：随机偏微分方程 高频市场信息 精确预测 

分 类 号：F224[经济管理—国民经济] F830.9