基于Netlogo的中国ETF基金套利研究  

A study on the arbitrage of Chinese ETF based on Netlogo

作　　者：王良[1] 刘潇[1] 秦隆皓 黄珍 WANG Liang;LIU Xiao;QIN Longhao;HUANG Zhen(School of Economics and Business Administration,Xi'an University of Technology,Xi'an 710048,China)

机构地区：[1]西安理工大学经济与管理学院,陕西西安710048

出　　处：《管理工程学报》2020年第1期164-176,共13页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71171155);西安市社会科学规划基金重大资助项目(17J92);西安理工大学科技创新计划项目(2016CX009);西安理工大学博士科研启动项目(107-211211)。

摘　　要：首先构建了基于Netlogo的金融资产交易仿真系统,综合考虑套利过程中的ETF基金双重交易机制、冲击成本、平仓成本、交易者类型等因素,通过数理建模量化分析了EFT基金的跨市套利以及期现套利过程。据此利用Matlab对两种套利过程进行算法编程,并对采用历史真实数据与模拟数据获得的套利结果进行了对比分析。从十五只ETF基金日内跨市套利的结果来看,无论是模拟数据还是历史数据,ETF基金跨市套利中反向套利机会要远多于正向套利机会,但模拟期限较短可能会导致仿真结果不理想。此外,跨市套利的瞬时及连续套利收益率的模拟值随着仿真期限的增加偏差率相对较小,这也符合指数型基金收益率波动程度较低的现实特征,同时也恰好说明了本研究构建的Netlogo模拟系统较为理想。对以ETF510300作为现货品种时的股指期货期现套利进行研究,发现在采用融资融券方式套利时,两种数据条件下均存在较高的超界率,且期现套利机会整体上多于跨市套利机会。从套利方向来看,股指期货期现套利中反向套利机会出现的次数、最长持续时间、瞬时套利平均收益和连续套利机会均高于正向套利的。Exchange-traded index fund plays an important role in the domestic and foreign financial markets,and the number of ETF funds in China reached 167 on August 27,2017.As one kind of innovative financial products in the Chinese fund market,its trading mechanism needs to be improved.This can be explored through experimental financial research.Although the existing literature by computational methods has analyzed arbitrage trading behavior of other financial products,there is no research to study Chinese ETF arbitrage by simulation tools,and most of the arbitrage models neglect the hedging cost,the impact cost of cross-market arbitrage,as well as different types of traders and so on.This study analyzed the data of fourteen ETF funds with different listing time and ETF 510300,which concerns component stocks of the CSI 300 in China.First,of all,we build the trading market simulation model and system based on Netlogo.It considers the hedging cost,the impact cost of cross-market arbitrage,trader type,and other factors simultaneously.Furthermore,it quantitatively analyzes cross-market arbitrage and future-spot arbitrage process and presents a comparative study by history and simulation results.In the first part of the article,after considering differences of investment strategies adopted by different investors,trading tactics in Netlogo will be divided into the following four types:noise investment strategy,the fundamental value investment strategy,flock investment strategy,and momentum investment strategy,a simulation system of Netlogo trading market is constructed accordingly.In the second part of the writing,we develop two main arbitrage models:ETF fund’s cross-market arbitrage and future-spot arbitrage,and calculate the positive and reverse arbitrage boundaries of these two methods through no-arbitrage equilibrium analysis.In the third part of the paper,the simulation results of the return rate of ETF and stock index future by Netlogo are analyzed to verify the accuracy of the simulation method.After the relevant mode

关 键 词：NETLOGO ETF基金 股指期货 套利 

分 类 号：F832[经济管理—金融学]