摘要
在期货市场上 ,指数期货是一种股票的避险工具。由于时间及其它因素 ,使得指数期货市场发生不平衡的现象 ,此一不平衡我们称之为套利空间。如何运用金融工程和信息技术来计算出其套利空间 ,为投资人赢得更多的利润 ,正是本研究的宗旨。本文针对指数期货的特性来寻找实时套利机会 ,明确地指出了买低卖高的方向及套利空间的大小 ,并给投资者设计了指数期货套利的交易策略。
On future markets, stock index futures can be used to hedge risks. But under the influence of time and other factors, there exists an imbalanced phenomenon that is called arbitrage space. This paper uses the financial engineering and information technology to calculate the arbitrage space to help investors gain more profits. Based on the characteristics of stock index future, it tries to find the arbitrage opportunities, point out how to buy low and sell high on the stock market and determine the size of arbitrage space. It also provides a set of trading strategies for stock index future arbitrage to investors.
出处
《财贸研究》
北大核心
2004年第4期60-64,共5页
Finance and Trade Research
基金
国家自然科学基金项目 (批准号 :70 2 73 0 2 7)
