沪深300指数优化复制方法的实证研究——基于股指期货的正向套利实验模拟视角

An Empirical Study on Shanghai and Shenzhen 300 Index Optimum Replication:Based on the Perspective of Experimental Simulation about the Positive Arbitrage of Index Futures

股指期货套利是现货价格与期货合约价格走势趋于一致并在到期日合而为一的重要因素,是股指期货功能得以有效发挥的一个基本条件。文章主要探讨了股指期货正向套利下的沪深300指数优化复制方法问题,并在基于Matlab7.0优化工具箱的编程环境下,将绝对偏差平均值作为目标函数的优化值,以二次序贯规划法(SQP)进行优化求解,对影响套利的主要成本以及研究所使用的主要性能评测指标——超额累积收益率BHAR和跟踪误差从实际操作角度进行了研究论证,并在此基础上,提出了一些相应的政策建议。

Stock index futures arbitrage plays an essential part in stock index futures function. This paper mainly discusses about the Shanghai and Shenzhen 300 index optimum replication method under the positive arbitrage of index futures. Based on the optimization toolbox Matlab7.0 programming environment and as the average absolute deviation as the optimization objective function value, the paper researches about the major impacts on arbitrage costs and the main indicators of performance evaluation such as the BHAR （Buy-and-Hold Abnormal Return） and tracking error from the perspective of the practical operation. On this basis, a number of corresponding policies are recommended.