基于日内效应的沪深300股指期货套利的分析  

Study on CSI300 index futures' arbitrage based on intraday effect

作　　者：赵秀娟[1] 魏卓[2] 汪寿阳[3] 

机构地区：[1]北京邮电大学经济管理学院,北京100876 [2]中国科学院大学管理学院,北京100190 [3]中国科学院数学与系统科学研究院,北京100190

出　　处：《管理科学学报》2015年第1期73-86,共14页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71173023);北京高等学校青年英才计划项目;新世纪优秀人才支持计划资助项目(NCET-11-0599)

摘　　要：基于1min的高频数据首次对沪深300股指期货日内特征进行分析,发现其日内绝对收益率的"LM"型特征,日内成交量的"WV"型特征,持仓量的"倒U"型特征,价差的"LM"型特征,以及错误定价率的"早上高、下午低"的日内均值回复特征,并通过向量自回归模型的方差分解和脉冲响应函数分析了五个指标的动态关联性.随后,根据沪深300股指期货错误定价率出现的"上午高、下午低"的日内特征,设计了相应的套利策略.样本内和样本外的套利收益数据表明,基于沪深300股指期货日内特征的套利策略是有效的.全文最后根据实证结果提出了相应的投资建议.Based on 1 minute high-frequency data,this paper analyzed intraday effect of CSI300 index futures for the first time and found＂LM＂pattern of absolute yields,＂WV＂pattern of volume,＂inverted U＂pattern of position,＂LM＂pattern of basis between highest and lowest price within 1 minute,and ＂high in the morning,low in the afternoon＂pattern of mispricing ratio. Then,dynamic correlation of these five indicators was analyzed by vector auto regression model of variance decomposition and impulse response function. In addition,we designed arbitrage strategy based on mispricing ratio＇s intraday effect,and intrasample and outsample result shows the intraday arbitrage strategy is effective. Finally,we made investment recommendations based on result.

关 键 词：沪深300股指期货 高频数据 日内效应 套利 向量自回归 

分 类 号：F830[经济管理—金融学]