基于监测交易的股指期货合约操纵策略研究

Research of Manipulation Model Based on Monitoring Trade in Stock Index Futures Contract

操纵行为的目的在于操纵现货市场价格，通过对最后结算价施加影响获利。建立在现金结算的股指期货市场上股指期货合约操纵模型，操纵策略要求操纵者买入期货头寸，并在现货市场上进行交易，根据其偏好影响结算价格。如果期货市场的流动性高于现货市场流动性的加权平均值，操纵者就会获得正的预期收益。模型解决了操纵者基于监测交易制定最佳操纵策略的决策问题，并提供了一种检验股指期货市场上操纵策略存在与否的方法，在较早的时间内从市场交易信息中甄别出价格操纵行为．从而有效降低价格操纵行为对市场效率和公平性的伤害．控制市场的风险。

The purpose of manipulation is to manipulate the price of cash market, which means to gain profits through the influence on the final settlement price. The paper establishes a model of manipulation in the cash settled stock index futures. The manipulation strategy requires the manipulator to take a future position and trade in the cash market to move the settlement price in his favor. The manipulator makes positive expected profits if the liquidity of the futures market is more than the weighted average liquidity of the cash market. The study solves the decision-making problem of drawing up the best manipulation strategy based on monitoring trade for manipulators; meanwhile, it proposes a methodology for examining the existence of manipulation strategy in stock index future market. The model discriminates price manipulation behavior from the market transaction information at an earlier time, therefore effectively reduces the damage to the market efficiency and fairness by manipulation, to control market risks.